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未拋補利率平價假說的非線性研究 = Uncovered Interest...

吳信宏

未拋補利率平價假說的非線性研究 = Uncovered Interest Rate Parity in a Time-Varying Smooth Transition Regression Model

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	Uncovered Interest Rate Parity in a Time-Varying Smooth Transition Regression Model
作者:	吳信宏,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2008[民97]
面頁冊數:	89面圖，表 : 30公分;
標題:	未拋補利率平價
標題:	Uncovered interest parity
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/82261590797775506889
附註:	指導教授：翁銘章
附註:	參考書目：面65-68
摘要註:	對於未拋補利率平價Uncovered Interest Parity (UIP) 假說的實證研究，許多文獻利用延伸Fama(1984)的線性模型探討即期匯率的變動率與遠期溢酬（forward premium）或兩國利率的差距 (interest rate differential）之間的關係，結果普遍發現無法證實UIP假說的成立。這些研究指出由於交易成本 (Sercu and Wu, 1992) 、投機限制的存在 (Lyons, 2001) 或是貨幣當局干預 (Mark and Moh, 2007) 都將導致即期匯率的變動率與遠期溢酬之間可能存在非線性的關係。另外，Baillie and Bollerslev (2000) 證實遠期溢酬迴歸式的估計參數斜率大小與正負號有隨時間緩慢變化的現象。因此，在放寬參數固定的假設之下，本研究應用Lundbergh, Teräsvirta and van Dijk (2003) 所提出TV-STR (Time-Varying Smooth Transition Regression, TV-STR) 模型同時考慮和區分非線性與結構性轉變 (time-varying coefficients) 兩種特性並進行模型的配適與估計，解釋未拋補利率平價假說偏離或是成立的區間轉變行為。本研究使用一單位英鎊、加拿大元和日圓美元兌換的即期和一個月期之遠期匯率的月資料探討即期匯率變動率與遠期溢酬的UIP關係，如同先前文獻所提及，結果顯示具有顯著的非線性，而應用TV-STR模型可藉由非線性與結構性轉變之區間轉換的特性說明在本文的研究樣本期間內UIP假說並非是一直保持在偏離的狀態，隨時間趨勢變動以及風險溢酬變化可以使UIP假說在某些情況下重回均衡的狀態。然而，模型中最大結構轉變時點個數的設定限制，可能不足以找出所有可能的轉變時點。 There are general findings by many studies criticizing that the linear model proposed by Fama (1984) is unable to validate uncovered interest parity (UIP) hypothesis. Therefore, some scholars presented theoretical motivation, e.g. , the presence of transaction cost (Sercu and Wu, 1992), the limitations to speculation hypothesis (Lyons, 2001) and the behavior of interventions (Mark and Moh, 2007). Baillie and Bollerslev (2000) also show that the magnitude and sigh of the estimated slop coefficient in the forward premium regression appears to be slowly time-varying. The paper applies the time-varying smooth transition regression model proposed by Lundbergh, Teräsvirta and van Dijk (2003) to describe and distinguish nonlinearity and structural change (time-varying coefficients) simultaneously in modeling the monthly observations of US spot and 1-month forward exchange rate against the UK sterling and Canadaian dollar and Japanese Yen. The main finding of this research is that the nonlinear relationship is supported empirically. The UIP is not rejected all the time, and it can be justified from the dynamics of regime switching caused by time-variation and the behavior of speculation. But the limitation of setting the maximum endogenous breakpoint may not find out all possible structural breaks.

未拋補利率平價假說的非線性研究 = Uncovered Interest Rate Parity in a Time-Varying Smooth Transition Regression Model
吳, 信宏

未拋補利率平價假說的非線性研究 = Uncovered Interest Rate Parity in a Time-Varying Smooth Transition Regression Model / 吳信宏撰 - [高雄市] : 撰者, 2008[民97]. - 89面 ; 圖，表 ; 30公分.
指導教授：翁銘章參考書目：面65-68.
未拋補利率平價Uncovered interest parity

未拋補利率平價假說的非線性研究 = Uncovered Interest Rate Parity in a Time-Varying Smooth Transition Regression Model
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