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研究生:李起銓
研究生(外文):Chi-chuan Lee
論文名稱:歐盟地區利率平價之檢定-STOPBREAK模型的應用
論文名稱(外文):Tests for interest rate parity in the EU ─ an application of the stochastic permanent breaks model
指導教授:戴錦周戴錦周引用關係李建強李建強引用關係
指導教授(外文):Jin-jou DaiChien-chiang Lee
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
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
畢業學年度:94
語文別:中文
論文頁數:63
中文關鍵詞:利率平價歐盟STOPBREAK模型結構改變
外文關鍵詞:EUSTOPBREAKInterest rate parityStructure breaks
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本文利用歐盟地區資料檢測利率平價說,為考量樣本期間內發生結構性改變之影響,採用Engle and Smith (1999)的stochastic permanent breaks (STOPBREAK) 方法,針對1979年1月到1998年12月的長期利率 (10年期政府公債利率) 及短期利率 (3個月貨幣市場利率) 的月資料進行檢定。此外,更進一步考量超過一世紀的長期間年資料 (1874-2004年) 檢測利率平價說。實證結果發現採用月資料,傳統Johansen (1988) 共積檢定法無法棄卻無共積關係之虛無假設,但STOPBREAK模型卻指出此現象可能是暫時性的偏離所造成之結果,支持長期存在共同趨勢,亦即考慮結構性改變後,利率平價說在歐盟地區是成立的。不同地,改用年資料卻發現STOPBREAK檢定效力不如預期,可能的原因是由於長期間資料的調整期間較長,不易受到政策面或一些衝擊的影響。
In this paper, we examine the hypothesis of interest rate parity (IRP) in the European Union countries base on structure change with stochastic permanent breaks (STOPBREAK) model provided by Engle and Smith (1999). The empirical analysis is carried out using monthly data of long-term interest rate (10-year government bonds yield) and short-term interest rate (3-month money market rate) over the period January 1979 to December 1998. Our purpose in this paper is to re-examine the interest rate relationships of the German and any of the other EU countries. In addition, the further examination IRP hypothesis was observed by annual data over a long time horizon from 1874 to 2004.

The result that using monthly observations, we find the conventional Johansen (1988) cointergation test fail to reject the null hypothesis of no conintegration relationships. In contrast, the STOPBREAK model that allows for structural breaks in the cointegrating relationship find strong evidence for convergence between German interest rates and interest rates in other EU countries. This model indicates it is possible that interest rate may move apart sometimes but are cointegrated most of the time. Differently, we find the higher power of the cointergation tests as opposed to that of STOPBREAK tests. The reason may be due to the policy change or shock doesn’t influence long period data easily.
目 錄

中文摘要…………………………………………………………Ⅰ
英文摘要…………………………………………………………Ⅱ
誌謝………………………………………………………………Ⅲ
目錄………………………………………………………………Ⅳ
表目錄……………………………………………………………Ⅵ
圖目錄……………………………………………………………Ⅷ
第一章 緒論……………………………………………………1
第一節:研究動機與目的………………………………………1
第二節:研究架構………………………………………………8
第二章 理論模型與文獻回顧…………………………………10
第一節:理論模型………………………………………………10
第二節:文獻回顧………………………………………………13
第三章 計量方法………………………………………………23
第一節:單根檢定………………………………………………23
第二節:Johansen共積檢定……………………………………24
第三節:STOPBREAK模型.………………………………………26
第四章 實證結果………………………………………………33
第一節:資料說明與處理.…………………………………… 33
第二節:月資料分析……………………………………………42
第三節:年資料分析……………………………………………52
第五章 結論……………………………………………………57
參考文獻…………………………………………………………59

表目錄

表2.1 IRP實證文獻整理………………………………………19
表2.2 歐洲國家IRP之實證文獻整理…………………………20
表4.1 資料說明.………………………………………………36
表4.2 短期利率的單根檢定.…………………………………44
表4.3 長期利率的單根檢定.…………………………………44
表4.4 短期利率的ZA單根檢定.………………………………45
表4.5 長期利率的ZA單根檢定.………………………………45
表4.6 VAR模型的殘差項自我相關檢定(短期利率)…………47
表4.7 VAR模型的殘差項自我相關檢定(長期利率)…………48
表4.8 Johansen共整合檢定 (短期利率)……………………48
表4.9 Johansen共整合檢定 (長期利率)……………………49
表4.10 STOPBREAK檢定 (短期利率)…………………………51
表4.11 STOPBREAK檢定 (長期利率)…………………………52
表4.12 年資料的單根檢定.……………………………………54
表4.13 年資料的ZA單根檢定.…………………………………55
表4.14 VAR模型的殘差項自我相關檢定(年資料).…………55
表4.15 Johansen共整合檢定(年資料)………………………56
表4.16 STOPBREAK 檢定(年資料)……………………………56

圖目錄

圖1.1 研究流程圖.……………………………………………9
圖4.1 短期利率時間序列趨勢圖……………………………36
圖4.2 短期利率差時序列趨勢圖……………………………37
圖4.3 長期利率時間序列趨勢圖……………………………38
圖4.4 長期利率差時序列趨勢圖……………………………39
圖4.5 長期間利率時間序列趨勢圖…………………………40
圖4.6 長期間利率差時序列趨勢圖…………………………41
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