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研究生:沈盈菁
研究生(外文):Shen Ying-Ching
論文名稱:國際資本市場之利率波動關連性
論文名稱(外文):Volatility Linkages among Real Intereat Rates in International Capital
指導教授:聶建中聶建中引用關係
指導教授(外文):Nieh Chien-Chung
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:中文
論文頁數:52
中文關鍵詞:國際資本市場整合實質利率雙變量GARCH模型共變異數
外文關鍵詞:Real interest rateCovarianceGARCHVoatility linkageInternational capital market
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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
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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。
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