拋補利率平價說之實證研究－以台灣與美國為例

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。

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.