利率平價理論與購買力平價理論影響匯率浮動之實證分析（以台幣兌換美元、英鎊、日幣、加幣之研究）

The Emperical Studies of the Impacts of Interest Rate Parity Theory and Purchasing Power Parity Theory on the Movements of Foreign Exchange Rate. (The Case of NT Dollars Exchange to US Dollars, UK. Sterling, Japan Yean and Canada Dollars)

陳春盛(Chun- Sheng Chen)

指導教授 ： 林烱垚

共同指導教授 ： 莊忠柱(Chung-chu Chuang)

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.01012

摘要

本論文主要先以利率平價理論探討匯率與利率的關聯性，以日資料分析跨不同主要貨幣的兌換關係，進行橫斷面分析，以充實實證架構。透過迴歸模型分析為實證研究方法，觀察匯率與利率的關係，再用T檢定檢測是否有套利行為，藉此證實台灣外匯市場之效率性。除了探討匯率與利率的關係，也以兩國間購買力差異作為匯率的解釋變數，分析兩國兌換貨幣的匯率浮動，是否購買力能否單獨解釋在一定期間匯率市場浮動的資訊效率性。
本研究所得之實證結果，在此論文選取的四個國家與台灣市場間的匯率變動與利率差中發現，兩國利率差不足以解釋匯率的變動，且利率差與匯率變動之間存有套利的空間，因此利率平價理論並不成立。此外，也發現兩國購買力率一樣是不足以解釋匯率的變動，且購買力率與匯率變動之間也存有套利的空間，因此購買力平價理論並不成立，最後本研究實證之結果，與過去許多學者的研究實證結果是一致的。

關鍵字

利率平價理論 ； 購買力平價理論 ； 匯率 ； 效率市場

並列摘要

This paper discusses the relationship between the interest rate and the exchange rate through Interest Rate Parity, in which the cross-sectional analysis of the exchanging relationship between several major currencies is conducted with daily data. In the analysis, the relationship between the interest rate and the exchange rate and the arbitrage behavior are examined by conducting T test and regression in order to test the efficiency of the exchange market of Taiwan. The paper then moves on to the relationship between the exchange rate and the difference of purchasing power between two countries in order to test the significance of the influence of the purchasing power on the exchange rate.
The research uses samples from Taiwan, the United States, Canada, the United Kingdom and Japan. The relationship between the fluctuation of the exchange rate of these countries and the differences in the interest rate of these countries shows that the difference in the interest rate cannot explain the fluctuation of the exchange rate and that the Interest Rate Parity can not be held. Therefore, the result indcates the possible arbitrage opportunities may be existing. In addition, the result shows that the purchasing power cannot explain the fluctuation of the exchange rate and that the Purchasing Power Parity cannot be held ande there exist arbitrage opportunities as well. The results of this paper are consistent with previous literatures.

並列關鍵字

Interest Rates Parity ； Purchasing Power Parity ； Foreign Exchange Rat ； Eefficient Market Hypothesis

參考文獻

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