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

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