臺灣博碩士論文加值系統

外匯市場無疑地是世界最大的金融市場，它是國與國間貨幣兌換的市場。在外匯的投資標的工具中以美元、英鎊、日圓、德國馬克及瑞士法郎的交易最為熱絡。在貨幣市場有各種不同型態的參與者，包括：貿易商、投資基金經理人、外匯經紀人和各式的交易者。
匯率的持續波動在貨幣價值變動頻繁之國際金融市場中，純屬常態現象。為了掌握匯價變動趨勢，本論文透過在外匯投機操作時最主要的經濟指標─利差，來分析美國、英國。日本和台灣利率差對其匯價走勢之影響。
本研究藉由模型風險補償決定於利差和當期與長期間匯率缺口。探討在三個月、六個月和一年範圍的三種通貨相對於美元通貨的風險補償：英鎊、日元和新台幣。月資料包含從一九九二年一月到公元兩千年二月。風險補償是由實際匯率減去到期調整，連續時間利率差。為確保樣本沒有重疊，僅使用一月、四月、七月和十月資料做三個月的迴歸。六個月的迴歸僅使用一月和七月的資料。一年的迴歸則僅使用一月的資料。
本文研究結果如下：
1. 遠期匯率為未來即期匯率之不偏估計值。
2. 使用OLS和SUR做估計時，利差是顯著地與風險補償呈負相關。
3. 改變簡單購買力平價發展當期與長期間匯率缺口的量測，發現8個匯率缺口係數中的5個是顯著的。
此論文呈現一理論的匯率模型與風險補償被決定於利差和當前與長期均衡匯率之間的缺口。提供交易者持續進行外匯投機買賣的參考依據。

The foreign exchange market is undoubtedly the world’s largest financial market. It is the market where one country’s currency is traded for another’s. Most of the trading takes place in a few currencies: the U.S. dollar, British pound sterling, Japanese yen and German deutschemark. The many different types of participants in the foreign exchange market include the following: importers, exporters, portfolio, foreign exchange brokers, and traders.
Exchange-rate volatility is the natural consequence of international operations in a world where foreign currency values more up and down. In order to understand exchange-rate change, this paper examines the impact of interest rate differential on exchange-rate trend in U.S., Japan, U.K., and Taiwan.
In the model the risk premiums should be determined by interest differentials and by the gap between current and long-run exchange rate, which examine risk premiums at the 3-, 6-, and 12-month horizons for three currencies relative to the U.S. dollar: the U.K. pound, Japanese yen, and the New Taiwan. The monthly data cover January, 1992 through February, 2000. The risk premiums are calculated as the actual exchange-rate change (log difference) minus the maturity-adjusted, continuous-time interest rate differential. To ensure that the samples were non-overlapping, we use only January, April, July, and October data for the 3-month regressions. For the six-month regressions we use only January and July data. For the annual regressions we use only January data.
The conclusions are as follows:
The forward exchange rate should be an unbiased predictor of future spot exchange rate. Interest differentials are significantly and negatively related to risk premiums in using OLS and SUR. We turn to simple purchasing power parity to develop a measure of the gap between current and long-run equilibrium exchange rate. With this estimation technique we find that 5 of the 8 exchange-rate gap coefficients are statistically significant.
This paper presents a theoretical exchange rate model. Risk premiums are determined, in particular, by interest differentials and by the gap between current and long-run equilibrium exchange rates. If speculators have an alternative to exchange-rate speculation, then there is no presumption that uncovered interest parity holds even approximately in long-run equilibrium. The expected utility of being a trader becomes arbitrarily small when there is sufficient speculative activity in the market. Since speculators can always shift to other financial markets, in the long run there will be a finite equilibrium number of foreign-exchange speculators.

第一章 緒論
第一節、研究動機與目的 ………………………...1
第二節、研究架構 …………………………………2
第二章 文獻回顧
第一節、匯率理論 …………………………………5
第二節、國外相關文獻 ……………………………14
第三節、國內相關文獻 ……………………………19
第三章 利率平價與遠期匯率不偏性之沿革
第一節、拋補利率平價 ……………………………24
第二節、未拋補利率平價和遠期匯率不偏性 ….30
第三節、遠期匯率：風險趨避和理性預期 ……..34
第四節、匯率和訊息 ………………………………38
第五節、披索問題和雜訊交易者 ………………...41
第四章 實證研究之設計
第一節、外匯風險補償的理論模型 ……………...46
第二節、相似無關迴歸模型 ……………………....52
第五章 實證分析
第一節、資料來源與處理 ………………………...55
第二節、遠期匯率不偏性探討 …………………...57
第三節、風險補償實證結果 ……………………...63
第六章 結論與建議
第一節、結論 ………………………………………66
第二節、建議 ………………………………………68
參考文獻 ……………………………………………….
71
附錄 匯率模型 ……………………………………73
圖表目錄
壹、附圖部份
圖1.1研究流程圖 …………………………………………4
圖3.1頭肩頂 ………………………………………………43
圖3.2收斂三角 ……………………………………………44
圖5.1即期匯率與遠期匯率(三個月)：英鎊兌美元 ….57
圖5.2即期匯率與遠期匯率(三個月)：美元兌日圓 ……58
圖5.3即期匯率與遠期匯率(三個月)：美元兌新台幣 …58
圖5.4即期匯率(St)與遠期匯率(Ft)：英鎊兌美元 ……...60
圖5.5即期匯率(St)與遠期匯率(Ft)：美元兌日圓 ……...61
圖5.6即期匯率(St)與遠期匯率(Ft)：美元兌新台幣 …...62
貳、附表部份
表2.1台灣實證文獻比較 ………………………………..23
表5.1FRU檢定結果 ……………………………….56
表5.2遠期匯率預測標準差(%) ………………………….57
表5.3標準風險補償之計量估計模型(OLS) ……..…….62
表5.4標準風險補償之計量估計模型(SUR) ……………63
表5.5PPP決定長期均衡匯率之計量估計模型(OLS) …64
表5.6PPP決定長期均衡匯率之計量估計模型(SUR) …65

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