探討利差交易可行性-以平滑轉換自我迴歸模型驗證利率平價說

Abstract

本研究以非線性平滑轉換自我迴歸（STAR）模型，針對日本、美國、澳洲、英國、歐元區等國進行已拋補利率平價說之實證研究。當已拋補利率平價說成立時，代表該國間的利差交易，無法獲得額外利益；反之，當已拋補利率平價說不成立時，代表資金持有者可藉由利差交易，獲得額外利益。 研究結果發現歐元區對日本之兩國利差與遠期匯率折、溢價幅度的差值（D）存在線性關係。澳洲對日本、英國對日本可用STAR模型描述D值之偏離調整過程，而美國對日本，由於調整速度（γ）過大，使STAR模型退化為非線性TAR模型。但根據均方根差判斷，三組非線性模型均具有良好之預測能力。 在預測結果方面，美國對日本、英國對日本在預測期間內已拋補利率平價說大致成立，也隱含金融市場及外匯市場為有效率，因此無法藉利差交易獲取額外利益。而澳洲對日本，已拋補利率平價說僅在預測初期有成立，長期下逐漸偏離已拋補利率平價說均衡，金融市場及外匯市場不具效率，因此對於此國家組合，資金持有者將可藉利差交易獲取額外利益。

This empirical study of Covered Interest Rate Parity (CIRP) is conducted on the basis of non-linear Smooth Transition Autoregressive Model, focusing on five areas including Japan, the United States, Australia, the United Kingdom, and the Euro zone. When CIRP holds, no abnormal gain can be derived from carry trade; in contrast, when CIRP cannot be supported, capital holders can obtain abnormal profit from carry trade. The result demonstrates that a linear relationship exists in the difference (D) between interest spread and forward exchange rate discount (or premium) of the Euro zone and Japan. In the cases of Australia against Japan and the UK against Japan, STAR model can be used to describe the process of adjustment for D`s deviation. While the high speed of transition (γ) of the United States against Japan causes STAR model to recede to TAR model. These three non-linear models possess excellent predictive power, according to the root mean square error. In the forecasted periods, CIRPs of the United States against Japan and the UK against Japan sustain in nearly all periods, suggesting the financial markets and the foreign exchange markets are efficient. Therefore, capital holders cannot obtain abnormal profit from carry trade. In the case of Australia against Japan, CIRP can be supported only in the initial periods. Then it gradually deviates from CIPR equilibrium in the long term, causing inefficiency of the financial markets and the foreign exchange markets. Hence, investors can obtain abnormal profit from carry trade.