臺灣博碩士論文加值系統

本文以1977年1月至2007年7月為樣本期間，研究台灣、韓國、新加坡、印尼、馬來西亞、菲律賓與泰國七個亞洲國家分別對日本與對美國之間實質利率平價說之成立情形，藉由檢定實質利差之恆定性以驗證實質利率平價說是否成立，並進一步針對恆定的實質利差數列探討是否具有非線性的調整特性。
在作法上，首先以單根檢定判斷實質利差之恆定性，為了避免單根檢定在小樣本下所存在型一誤差與檢定力的缺失，本研究主要採用Ng and Perron(2001)單根檢定搭配MAIC訊息準則，透過Rudebush (1993)的模擬技巧，建立在恆定過程與非恆定過程下，單根檢定統計量的小樣本分配，透過小樣本分配評估單根檢定在小樣本下型一誤差與檢定力的績效、藉由實際樣本統計量相對於兩分配的位置以推斷實質利差數列所屬之分配，並與傳統單根檢定以及不同訊息準則下的結果作比較。另一方面，由於交易成本等因素使得實質利差的調整動態可能具有非線性的現象，因此針對恆定的實質利差數列，進一步以平滑自我迴歸模型探討其動態調整行為。
實證結果顯示，對日本的國家中，印尼、菲律賓及泰國對日本之實質利差為恆定數列，支持實質利率平價說的成立，台灣、韓國、新加坡、馬來西亞四個國家則無法明確判定單根檢定的結果；對美國的實質利差中，除了台灣及韓國無法確定數列之恆定性，其餘五國對美國之實質利差為恆定數列；由以上結果可以發現，美國對於亞洲國家具有較大的影響力，市場的整合度較高。進一步以STAR研究在實質利差恆定的國家中是否具有非線性的現象，其結果顯示各實質利差皆具有非線性的調整特性，同時比較印尼、菲律賓與泰國這三個國家對日本與對美國之實質利差調整速度可發現，對美國之實質利差的調整速度較快，表示受到衝擊時，調整回均衡的反應較為迅速，顯示這些國家與美國之間有較大的關聯性。

This study analyses real interest rate parity hypothesis (RIPH) over the period 1977M1 to 2007M7 in seven Asian countries with respect to Japan and US, namely Taiwan, Korea, Singapore, Indonesia, and Malaysia. We examine whether the RIPH holds through unit-root tests on the real interest rate differentials (rids), and further explore nonlinear model when rids is stationary.
First, we focus on the stationary of rids by carrying out a set of unit root tests. To prevent size distortion and low power, we apply the more powerful linear unit-root tests developed by Ng and Perron (2001) along with MAIC, and follow Rudebusch’s simulation skill to establish the small sample distributions of the test statistics under the nulls and alternatives. Thus, we evaluate the performance of size and power, observe which process is rids more likely come from, and comparing different outcomes under three information criteria. Second, the presence of transaction costs and other reasons may cause the nonlinear behavior of rids. In our study, we discuss whether or not adjustments towards RIPH between Asian economies and Japan and US can be characterized as nonlinear, and we employ smooth transition autoregressive model to test for the possible existence of nonlinearity in rids.
Our finding shows that RIPH holds in three countries with respect to Japan ,namely Indonesia, Philippines, and Thailand, but in Taiwan, Korea, Singapore and Malaysia, we can’t discriminate two processes clearly, which shows little evidence that RIPH holds in those countries. As for the US based countries, there are five countries in favor of the RIPH except for Taiwan and Korea. This evidence reveals a higher degree of market integration with US than Japan. Furthermore, in those countries which RIPH holds, we find the evidence of nonlinearities. Comparing the speed of adjustment in Indonesia, Philippines, and Thailand with respect to Japan and US at the same time, it exhibits the sharper transition form in those countries with respect to US than Japan, which means, it has faster speed of mean reverting ,and these markets are highly linked with US.

壹、 緒論
1-1 研究背景與動機
1-2 研究目的
1-3 研究架構
貳、 理論模型與文獻探討
2-1 實質利率平價說
2-2 文獻探討
參、 研究方法
3-1 模型配適
3-2 模擬方法
3-3 單根檢定
3-3-1 ADF-GLS檢定
3-3-2 Zt檢定
3-3-3 Ng-Perron 單根檢定
3-4 非線性STAR模型
3-4-1 STAR模型介紹
3-4-2 檢定與估計
肆、 實證分析與結果
4-1 資料來源與處理過程
4-2 小樣本分配
4-2-1 型一誤差與檢定力
4-2-2 檢定統計量之p值
4-2-3 各國實質利差之恆定性
4-3 非線性模型
4-3-1 線性檢定與最適延遲項之決定
4-3-2 STAR型態檢定
4-3-3 STAR估計結果
4-3-4 模型配適度評估
伍、 結論與建議
5-1 研究結論
5-2 後續建議
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