本研究引用多變量GARCH -BEKK模型，探討美國與英國、法國、德國及義大利等資本市場間實質利率波動之關連性。藉由模型中條件共變異數特性與條件相關係數之分析來驗證美國資本市場與歐洲主要資本市場間實質利率之連動性隨時間變異的特性。結果發現，美國分別與英國、法國、德國和義大利等四組國家間的實質利率，不論是永久性(非條件)共變異數或暫時性(條件)共變異數都顯著異於零，顯示國際間資本市場的實質利率在短期與長期皆具連動關係，這表示各國國內央行的貨幣政策不論長短期都不具自我主控的有效性，必須透過多國的聯合決策模式才能確保政策目標的達成。因此，若要提升該國競爭優勢，政府必須重新設計一健全、開放的金融規範，建立安全的金融環境以使市場有效運作。

Using a multivariate GARCH-BEKK model, this study examines the volatility linkage of real interest rate between U.K.、France、Germany、Italy and U.S. We obtain the character of time-varying relationship between U.S. capital market and four major euro-capital markets by analyzing the texture of conditional covariances and conditional correlations. Our results indicate that all pairs of capital markets including U.S.-U.K., U.S.-France, U.S.-Germany and U.S.-Italy have significant permanent and transitory covariance. As a consequence, it appears that the real interest rates in international capital market are highly connected both in the long-run and the short-run. This finding implies that every country monetary policy has lost its effectiveness in terms of long period and short period, government must take the influence of economic factor abroad into consideration to achieve the goal of policy. This paper suggests that government should restructure a healthy financial regulation to create a safety transaction market so that the national competitiveness will progress through the successful market system.

第一章 緒論1
第一節 研究背景1
第二節 研究動機與目的3
第三節 研究流程5
第二章 理論基礎與文獻回顧6
第一節 理論基礎6
第二節 文獻回顧10
第三章 研究方法19
第一節 單變量GARCH模型20
第二節 多變量GARCH模型25
第四章 實證分析32
第一節 資料來源與處理32
第二節 最適通貨膨脹率預測模型34
第三節 實證結果分析35
第五章 結論與建議42
第一節 結論42
第二節 建議45
參考文獻46
附錄50

國外部份
Awad, Mouawiya Al and Barry K. Goodwin, “Dynamic Linkages Among Real Interest Rates in International Capital Market,” Journal of International Money and Finance, 17, 1998, 881-907.
Baba, Y., R. F. Engle, D. Kraft and K. Kroner, “Multivariate Simultaneous Generalized ARCH,” Unpublished manuscript, University of California-San Diego, 1990.
Baillie, R.T. and T. Bollerslev, “A Multivariate Generalized ARCH Approach to Modelling Risk Premia in Forward Foreign Exchange Rate Markets,” Journal of International Money and Finance, 9, 1990, 309-24.
Bollerslev, T., “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Economics, 31, 1986, 307-27.
______, “A Conditionally Heteroskedasticity Time Series Model for Speculative Prices and Rates of Return,” The Review of Economics and Statistic, 1987, 542-47.
Bollerslev, T., R.T. Chou and K.F. Kroner, “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,” Journal of Econometrics, 52, 1992, 5-59.
Bollerslev, T., R.F. Engle and J.M. Wooldridge, “A Capital Asset Pricing Model with Time Varying Covariance,” Journal of Political Economy, 96, 1988, 116-31.
Chinn, Menzie D. and Jeffrey A. Frankel, “Who Drives Real Interest Rates Around the Pacific Rim: The USA or Japan?” Journal of International Money and Finance, 14(6), 1995, 801-21.
Cumby, Robert E. and Frederic S. Mishkin, “The International Linkage of Real Interest Rates: The European-US Connection,” Journal of International Money and Finance, 5, 1986, 5-23.
Darbar, S. M. and P. Deb, "Comovement in International Equity Market," The Journal of Financial Research, 1997, 305-22.
Dutton, Marilyn Miller, “Real Interest Rate Parity New Measures and Tests,” Journal of International Money and Finance, 12,1993,62-77.
Engle, Robert F., “Autogressive Conditional Heteroskedasticity with Estimates of The Variance of United Kingdom Inflation,” Econometrica, 50, 1982, 987-1007.
Engle, Robert and C.W.J. Granger, “Cointegration and Error Correction: Representation, Estimation and Testing,” Econometrica, 55, 1987, 251-67.
Engle, Robert and C. W. J. Granger, “Cointegration and Error Correction: Representation, Estimation and Testing,” Econometrica, 55, 1987, 251-67.
Engle, R.F. and K.F. Koner, “Multivariate Simultaneous Generalized ARCH,” Econometric Theory, 11, 1995, 122-50.
Engle, R.F.,D. Lilien and R. Robins, “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model,” Econometrica, 55, 1987, 391-407.
Evans, M., “Interpreting the Term Structure Using the Intertemporal Capital Asset Pricing Pricing Model: An Application of the Non-linear ARCH-M Model,” Unpubl. Manuscript, New York University, 1989.
Fountas, Stilianos and Jyh-lin Wu, “Testing for Real Interest Rate Convergence in European Countries,” Scottish Journal of Political Economy, 46(2), 1999, 158-74.
Frankel, A.J., “Measure International Capital Mobility: A Review,” American Economic Review, 82, 1992, 197-202.
Gaab, W., M.J. Granziol and M. Horner, “On Some International Parity Conditions: An Empirical Investigation,” European Economic Review, 30(3), 1986, 683-713.
Goodwin, Barry K. and Thomas J. Grennes, “Real Interest Rate Equalization and The Integration of International Financial Markets,” Journal of International Money and Finance, 13, 1994, 107-24.
Hamid Faruqee, “Dynamic Capital Mobility in Pacific Basin Developing Countries,” IMF Staff paper, 39(3), 1992, 706-17.
Fraser, Jane and Jeremy Oppenheim, “What’s new about globalization,” THE Mckinsey Quarterly 1997 Number 2.
Johansen, S., “Statistical Analysis of Cointegrating Vectors,” Journal of Economic Dynamics and Control, 12, 1988, 231-54.
Johansen, S. and K. Juselius, “Maximum Likelihood Estimation and Inference on Cointegration with Applications to The Demand for Money,” Oxfor Bulletin of Economics and Statistics, 52, 1990, 325-348.
Mandelbrot, B., “The Variation of Certain Speculative Prices,” Journal of Business, 36, 1963, 394-419.
Mark, Nelson C., “Some Evidence on The International Inequality of Real Interest Rates” Journal of International Money and Finance, 4, 1985, 189-208.
Merrick, John J. and Anthony Saunders, “International Expected Real Interest Rates: New Tests of The Parity Hypothesis and U.S. Fiscal Policy Effects,” Journal of Monetary Economics, 18, 1986, 313-22.
Mishkin, Frederic S., “Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Party Conditions,” The Journal of Finance, 39(5), 1984a, 1345-57.
______, “The Real Interest Rate: A Multi-Country Empirical Study,” Canadian Journal of Economics, 17(2), 1984b, 283-311.
Modjtahedi, Bagher, “Dynamics of Real Interest Differentials: An Empirical Investigation,” European Economic Review, 32, 1988, 1191-1211.
Patel, A. and S.R. Akella, “In Examination of Real Interest Rates in the United States, Canada, France and Germany During the Recent Floating Exchange Rate Period,” Review of Quantitative Finance and Accounting, 6, 1996, 293-307.
Phylaktis, Kate, “Capital Market Integration in The Pacific Basin Region: An Impulse Response Analysis,” Journal of International Money and Finance, 18,1999,267-87.
Throop, Adrian W., “International Financial Market Integraion and Linkage of National Interest Rates,” Economic Review, Federal Reserve Bank of San Franciso, 3, 1994, 3-18.
Tobin James, “Financial Globalization,” World Development, 28(6), 2000, 1101-04.
國內部份
徐孝堂，亞太地區金融市場整合之動態實證研究─GARCH模型之應用，碩士論文，國立台灣大學國際貿易研究所，民國八十五年六月。
唐祖蔭，亞洲國家實質利率均衡及相關模型之實證研究，碩士論文，國立台灣大學財務金融研究所，民國八十八年六月。
夏曉雯，利率費雪效應的實證研究」，碩士論文，國立台灣大學商學研究所，民國八十二年六月。
黃志典，台灣與主要國家實質利率關聯性之研究，行政院國家學委員會專題研究計劃成果報告，民國八十六年七月。