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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳思寬 | |
dc.contributor.author | Ching-Tsung Tsao | en |
dc.contributor.author | 曹清宗 | zh_TW |
dc.date.accessioned | 2021-06-13T16:39:34Z | - |
dc.date.available | 2008-10-21 | |
dc.date.copyright | 2005-07-29 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-07-04 | |
dc.identifier.citation | 一、國內文獻
王穎笙(1999),『台灣拋補利率平價理論之實證研究』,淡江大學財務金融學系金融碩士班碩士論文。 林意萍(1997),『無風險利率平價說之檢定-台灣的實證研究』,政治大學大經濟所碩士論文。 邱秀玲 (2002) , 『台灣利率平價說之實證研究』,政治大學經濟所碩士論文。 陳炳森(2000),『拋補利率平價理論之研究-台灣實證分析』,中山大學經濟學研究所碩士論文。 陳政德(1994),『利率平價理論之實證研究』,中興大學企管研究所碩士論文。 陳美蘭(1996),『台灣外匯市場利率平價理論之實證研究』,大葉工學院事業經營研究所碩士論文。 陳倩如 (2003) ,『考慮交易成本下的『拋補利率平價說』實證研究__以日本為例』,政治大學金融所碩士論文。 楊文匯(1993),『我國遠期外匯市場利率平價之研究』,中正大學財金所碩士論文。 溫靜瑜(1994), 『我國外匯市場利率平價與遠期匯率不偏性假說之檢定』,中正財金所碩士論文。 二、國外文獻 Abeysekera, S.P. & H.J. Turtle (1995) “Long-Run Relations in Exchange Markets : A Test of Covered Interest Parity”, The Journal of Financial Research, 18 , 431-447. Atkins, F.J. (1991) “Covered Interested Parity Between Canada and the United States : Another look using Modern Time Series Methods”, Empirical Economics, 16 , 325-334. Bahmani-Oskooee, M. & Satya P. Das (1985) “Transaction cost and the Interest Parity Theorem”, Journal of Political Economy, 97 , 793-799. Balke, N.S. & M.E. Wohar (1998) “Nonlinear dynamics and covered interest rate parity”, Empirical Economics, 23 , 535-599. Balke N. S. and T. B. Fomby(1997)”Threshold Cointegration”, Internationa1 Economic Review, 38 ,627-645. Branson, W.H. (1969) “The Minimum Covered Interest Differential Needed for International Arbitrage Activity”, Journal of Political Economy, 77 , 1028-1035. Chan, K. S.(1993),”Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model”, The Annals of Statistics, 21 ,520-533 Cliton, Kevin (1988) “Transactions Costs and Covered Interest Arbitrage: Theory and Evidence”, Journal of Political Economy, 96 , 358-370. Deardoff, Alan V. (1979) “One -way Arbitrage and Its Implications for the Foreign Exchange Markets”, Journal of Political Economy, 87 , 351-364. Engle, R. & C.W. Granger (1987) “Cointegration and Error Correction: Representation and Testing”, Econometrica, 55 , 251-276. Frenkel, J.A. & R.M. Levich (1975) “Covered Interest Arbitrage: Unexploited Profit?”, Journal of Political Economy, 83 , 325-338. Frenkel, J.A. & R.M. Levich (1977) “Transaction costs and Interest Arbitrage : Tranquil Versus Turbulent Periods”, Journal of Political Economy, 85 , 1207-1224. Frenkel, J.A. (1973) “Elasticities and The Interest Parity Theory”, Journal of Political Economy, 81 , 741-747. HANSEN, B. (1996). Inference When a Nuisance Parameter is not Identified Under the Null Hypothesis. Econometrica , 64 , 413-430. HANSEN, B. (2000). Sample Splitting and Threshold Estimations. Econometrica , 68 , 575-603. Johansen, Soren (1988) “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12 , 231-254. Johansen, Soren (1991) “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Regression Models”, Econometrica, 59 , 1551-1580. Peel, D. and Taylor, M. P. (2002). Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture. Journal of Money, Credit and Banking , 34 , 51-75. Taylor, M.P. (1987) “Covered Interest Parity: A High-Frequency, High-Quality Data”, Economica, 54 , 429-438. Taylor, M.P. (1989) “Covered Interest Arbitrage and Market Turbulence”, The Economic Journal, 99, 376-391. Woodward, R.S. (1987) “Interest Rate Arbitrage Using the Forward and Future Markets, 1977-85”, Applied Economics, 19, 1329-1335. Wu, Jyh-Lin & Show-Lin Chen (1998) “A re-examination of Real Interest Rate Parity”, Canadian Journal of Economics, 31, 837-851. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38623 | - |
dc.description.abstract | 本文將針對2000年至2004年底之新台幣與美元之拋補利率平價說(Covered Interest Parity)進行兩大類研究:
一、 在未考慮交易成本下,拋補利率平價說是否成立。本文利用ADF單根檢定以及Johansen之最大概似估計法,檢定利率差距與遠期匯率貼水間是否存在共整合關係,藉此判斷拋補利率平價說是否成立。 二、 在考慮買賣價差之交易成本下,拋補利率平價說將形成不可套利之區間,也就是中性帶或利率平價帶。因此本文利用門檻自我迴歸模型,來檢定以交易成本所形成之區間上下限是否恰當。 實證結果顯示,越是遠期的拋補利率平價說,越有可能違反線性的共整合關係,然而其不可套利區間的門檻效果卻會更加明顯,隱含了以門檻模型分析後,遠期拋補利率平價說依舊成立。 | zh_TW |
dc.description.abstract | This paper will discuss the covered interest parity between the NT Dollars and US Dollars from the year of 2000 to 2004 in two categories:
1. Without considering the transaction cost, will the theory of Covered Interest Parity stands? The ADF unit root test, and Johansen’s maximum likelihood ratio test, will be used to exam the existence of cointegration between the margin of interest rates and forward premium. The results will be used to determine whether the theory stands or not. 2. Considering the transaction cost from the ask-bid spread, the theory of Covered Interest Parity will form a non-arbitrage interval called neutral band. Therefore, the Threshold Autoregressive (TAR) model will be used to exam the upper & lower limits of the neutral band formed by transaction cost. The results of this experiment indicate that the long-term the covered interest parity goes, the possibility of violating the cointegration increases as well. However, the long-term interest parity extends the effects of threshold effect become obvious. Take the analysis of TAR model into account, the theory of Covered Interest Parity still stands. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T16:39:34Z (GMT). No. of bitstreams: 1 ntu-94-R92724042-1.pdf: 693596 bytes, checksum: e1e1fd116afb14ed9fd83b53ec8e24e3 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | 第一章 緒論 1
第一節 研究動機與目的 1 第二節 研究流程 2 第二章 理論模型與文獻回顧 4 第一節 利率平價說 4 第二節 文獻回顧 13 第三章 實證方法 19 第一節 單根檢定 20 第二節 共整合檢定 21 第三節 門檻模型 26 第四章 實證結果分析 28 第一節 資料來源與變數處理 28 第二節 未考慮交易成本之拋補利率平價說實證研究 29 第三節 考慮交易成本之拋補利率平價說實證研究 35 第五章 結論與建議 45 附錄 47 參考文獻 61 | |
dc.language.iso | zh-TW | |
dc.title | 拋補利率平價說之實證研究-以台灣與美國為例 | zh_TW |
dc.type | Thesis | |
dc.date.schoolyear | 93-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 曹添旺,萬哲鈺 | |
dc.subject.keyword | 拋補利率,單根檢定,共整合,門檻, | zh_TW |
dc.subject.keyword | CIP,ADF,Johansen,Threshold,TAR, | en |
dc.relation.page | 63 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2005-07-05 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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