臺灣博碩士論文加值系統

本文主要在探討台灣拋補型利率平價說偏離值（Deviation from covered interest rate parity）的波動情形。根據遠期外匯市場重新開放（1991/11）後的台灣與美國總體資料，台灣的拋補型利率平價說（以下簡稱CIP假說）並不成立，因此探討CIP假說無法適用於台灣的原因，成為本文研究的主要課題。我們提出一個小型開放資產組合模型，以「資本管制」及「資產不完全替代」這兩個因素，解釋台灣CIP偏離值的波動情形。本模型發現台灣資本管制政策漸漸鬆綁及台灣與美國資產替代程度增加的情形，解釋了偏離值在1994年間急遽縮小的現象。並以共整合（cointergration）的實證方法，驗證資本管制與資產不完全替代對CIP偏離值的影響效果，結果顯示這兩個因素所造成的效果都很顯著，且符合理論分析的結果，兩個效果佔偏離值的比例也大致相同。

The purpose of this paper is to investigate the fluctuation of deviation from covered interest rate parity in Taiwan. Since the covered interest rate parity (CIP) is not hold based on the macro data after forward market reopened (1991/11) in Taiwan, to inquire the causes of deviation from CIP is our main objective. We establish a small open portfolio balance model and bring into capital control and asset substitutability to explain the deviation from CIP in Taiwan. It is shown that the loosening policy of capital control and increasing degree of asset substitutability between Taiwan and America can explain the rapidly narrowing deviation in 1994 in Taiwan. In addition, we use co-integration method to estimate the effect of the two causes. Our reading of the empirical evidence suggests that the two causes are significantly consistent with theoretical result and each proportion of them to the swing of deviation is approximately the same.

一、前 言 1
二、文 獻 回 顧 5
1. 理論模型 5
2. CIP假說的實證方法 8
3. 資本管制與利率平價說 9
三、理 論 模 型 11
1.定態分析 14
2.動態分析 17
四、實 證 研 究 23
1.資料來源 23
2.CIP假說的成立性 24
3.CIP偏離值的實證研究 26
（1）共整合檢定 27
（2）共整合向量的估計與檢定28
五、結 論 32
附錄一、政府資本管制政策年表34
參 考 文 獻 36

中央銀行季刊（民國81年3月∼87年9月），第14卷第1期至第20卷第3期
李麗（民國85年），「我國外匯市場與外匯制度」，第四版，
台北市：金融研訓中心
楊文匯（民國82年），「我國遠期外匯市場利率平價之研究」，
中正大學財務金融研究所碩士論文
溫靜瑜（民國83年），「我國外匯市場利率平價與遠期匯率不偏性假說之
檢定－VRT之應用」，中正大學財務金融研究所碩士論文
Aliber, Robert Z. (1973), “The interest rate parity theorem:
A reinterpretation," Journal of Political Economy, 81, 1973,
1451∼1459.
Clinton, Kevin (1988), “Transactions costs and covered
interest arbitrage: Theory and Evidence,”
Journal of Political Economy, 96, no. 2, 358∼370.
Cody, Brian J. (1990), “Exchange controls, political risk and
the eurocurrency market: New evidence from tests of covered
interest rate parity,” International Economic Journal,
vol. 4,no. 2, 1990, 75∼86.
Delbecque, B. (1989), “Exchange-rate dynamics in a model with
imperfect capital mobility and asset substitutability,”
European Economic Review, 1161∼1173.
Dooley, Michael P. and Peter Isard (1980), “Capital controls,
political risk, and deviations from interest rate parity,”
Journal of Political Economy, vol. 88, no. 2, 370∼384.
Driskill, Robert and Stephen McCafferty (1982), “Spot and
forward rates in a stochastic model of the foreign exchange
market,” Journal of International Economics, 12, 313∼331.
Eaton, Jonathan and Stephen J. Turnovsky (1981), “Exchange
risk, political risk and macroeconomic equilibrium,”
Discussion Paper No. 388, Economic Growth Center,
Yale University
───(1983), “Exchange risk, political risk and macroeconomic
equilibrium,”American Economic Review, 73, 183∼189.
Einzig, P. (1975), “A dynamic theory of forward exchange,”
London: Macmillan
Engle, Robert F., and Byung S. Yoo (1987), “Forecasting and
testing cointegrated systems,”
Journal of Econometrics, 35, 143∼159.
Fratianni, M., and L. M. Wakeman (1982), “The law of one price
in the eurocurrency market,”
Journal of International Money and Finance, 1, 307∼323.
Frenkel, J. A. and R. M. Levich (1975), “Covered interest
arbitrage: Unexploited profits?,”Journal of Political
Economy, 83, 325∼338.
───(1977), “Transaction costs and interest arbitrage:
Tranquil versus turbulent periods,”
Journal of Political Economy, 85, 1209∼1226.
───(1981), “Covered interest arbitrage in the 1970’s,"
Economics Letters, 8, 267∼274.
Hamilton, J. (1994), “Time series analysis,” NJ: Princeton
University Press.
Hansen, Bruce E. (1992), “Efficient estimation and testing of
cointegrating vectors in the presence of deterministic
Trends.” Journal of Econometrics, 53, 87∼121.
Keynes, J. M. (1923), “A Tract on Monetary Reform,”
London: Macmillan
McCallum, Bennett T. (1983), “On non-uniqueness in rational
expectations models,”Journal of Monetary Economics, 11,
139∼168.
───(1996), “International monetary economics,”
New York: Oxford
Mendoza, Enrique G. (1994), “The robustness of macroeconomic
indicators of indicators of capital mobility,” in Capital
mobility: the impact on consumption, investment and growth,
editedby Leonardo Leiderman and Assaf Razin, NY: Cambridge,
83∼117.
Officer, Lawrence H. and Thomas D. Willett (1970), “The
covered-arbitrage schedule: A critical survey of recent
developments,” Journal of Money, Credit and Banking, 2,
247∼257.
Otani, Ichiro and Siddharth Tiwari (1981), “Capital controls
and interest rate parity: The Japanese experience,” IMF
Staff Paper, 793∼815.
Phillps, Peter C. B., and Bruce E. Hansen (1990), “Statistical
inference in instrumental variables regression with I(1)
processes,” Review of Economic Studies, 57, 99∼125.
Phillips, Peter C. B. and S. Ouliaris (1990), “Asymptotic
properties of residual based tests for cointegration,”
Econometrica 58, 165∼93.
Saikkonen, Pentti (1991), “Asymptotically efficient estimation
of cointegration regressions,”Econometric Theory, 7, 1∼21.
Spiegel, Mark M. (1990), “Capital controls and deviations from
proposed interest rate parity: Mexico 1982,” Economic
Inquiry, 239∼248.
Taylor, M. P. (1987), “Covered interest parity: A high-
frequency, high-quality data study,”Economica, 54, 429∼438.
───(1989), “Covered interest arbitrage and market
turbulence,” Economic Journal, 99, 376∼391.
Tsiang, S. C. (1959), “The theory of forward exchange and
effects of government intervention on the forward exchange
market,” IMF staff paper, 7, 75∼106.