臺灣博碩士論文加值系統

根據效率市場假說，遠期外匯市場的價格應能完全反映所有可用的資訊，即表示遠期匯率應為未來即期匯率的不偏估計值，因此投資人無法藉由在遠期外匯市場上從事投機行為而賺取超額利潤。本文以美元兌新台幣之即期匯率與十天、一個月、二個月以及三個月之遠期匯率進行實證分析，利用Johansen共整合檢定的方法來檢驗即期匯率與遠期匯率之間是否存在共整合的關係，並且利用概似比檢定的方法，檢驗遠期匯率是否為未來即期匯率的不偏估計值。實證的結果發現即期匯率與十天、一個月、二個月以及三個月之遠期匯率之間皆有共整合的關係，並且遠期匯率為未來即期匯率的不偏估計值。

According to the hypothesis of market efficiency, the forward exchange rate should fully reflect the available information. It means the forward exchange rate would be an unbiased predictor of the future spot rate, so that there are no strategies from which traders can profit consistently by speculating in the forward exchange market. The purpose of this study is to examine the relationships between spot and forward exchange rates in Taiwan by Johansen cointegration method and apply the likelihood ratio test to examine the unbiased predictor of the forward exchange rates. The investigations reveal that the result of cointegration relationships exist between spot and forward exchange rates, furthermore the forward exchange rates is an unbiased predictor of the future spot rates.

摘　要................................................................................................I
Abstract.............................................................................................. II
致　謝................................................................................................III
目錄................................................................................................IV
表目錄................................................................................................V
圖目錄.............................................................................................................................. VI
第一章　緒論........................................................................................................................1
　第一節　研究背景............................................................................................................1
　第二節　外匯市場概述....................................................................................................3
　第三節　研究動機與目的................................................................................................5
　第四節　研究架構與流程................................................................................................6
第二章　文獻回顧................................................................................................................8
第三章　研究方法..............................................................................................................22
　第一節　單根檢定..........................................................................................................22
　第二節　共整合檢定......................................................................................................25
第四章　實證結果與分析..................................................................................................27
　第一節　資料來源..........................................................................................................27
　第二節　單根檢定之結果..............................................................................................29
　第三節　共整合檢定之結果..........................................................................................37
　第四節　不偏性檢定之結果..........................................................................................43
第五章　結論......................................................................................................................45
參考文獻..............................................................................................................................47

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