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研究生:賴妙玲
研究生(外文):Lai, Miouling
論文名稱:未拋補利率平價說之實證分析-歐盟四豬為例
論文名稱(外文):An Empirical Analysis of Uncover Interest Parity:Evidence from the Four PIGSof European Union
指導教授:梁晉嘉梁晉嘉引用關係蘇志偉蘇志偉引用關係
指導教授(外文):Liang, ChinchiaSu, Chiwei
口試委員:梁晉嘉蘇志偉陳美玲張旭玲
口試委員(外文):Liang, ChinchiaSu, ChiweiChen, MeilingChang, Hsuling
口試日期:2011-12-10
學位類別:碩士
校院名稱:大葉大學
系所名稱:管理學院碩士在職專班
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:62
中文關鍵詞:未拋補利率平價追蹤單根追蹤共整合追蹤 FMOLS估計追蹤DOLS估計
外文關鍵詞:Uncover Interest Paritypanel unit rootpanel cointegrationpanel FMOLSpanel DOLS
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本篇研究主要探討歐「豬」四國國內總報酬與未拋補國外總報酬之關係和未拋補利率平價假說之實證與分析。資料汲取於國際貨幣基金(IMF)資料庫,資料頻率為月資料,樣本期間為2001年1月到2010年12月。採用追蹤資料方法:追蹤單根檢定、追蹤共整合檢定、追蹤FMOLS與追蹤DOLS估計。
研究結果發現: 1.歐豬四國之群組平均估計結果顯示,四個國家群組係數分別為FMOLS的估計值0.1和DOLS的估計值0.05,在5%的顯著水準下接受虛無假說 ,因此未拋補利率平價假說成立,但其估計值遠低於1。2.依據個別國家估計,西班牙及義大利的個別估計係數為正數,而葡萄牙、希臘的個別估計係數為負數。3.希臘在5%的顯著水準下拒絕虛無假設,推翻未拋補利率平價假說。我們提供某些政策意涵作為歐盟四豬融資與投資決策的金融指導依據。

In this paper we investigate the causal relationship between Gross domestic return and Uncovered gross foreign return among the four PIGS of European union and empirical analysis of Uncover Interest Parity(UIP). Monthly data are obtained from International Montetary Fund (IMF).The sample period starts from 2001:1 to 2010:12 . We employ the mothods of the panel unit root, panel cointegration and panel FMOLS and DOLS estimators.
The article finds the results : First, the group-mean estimates of the four countries, the esti- mates coefficients are 0.1 (FMOLS) and 0.05 (DOLS), accept the null of : at 5% level. The results are in line with the UIP condition, but the estimates are lower from 1. Second, based on the individual tests, the individual estimated coefficient for Italy and Spain are positive, the individual estimated coefficient for Portugal and Greece are negative. Third, only the country of Greece reject the null at 5% level, the UIP needs to be rejected. The four PIGS of European Union in this paper of the sample period, the other countries:Portugal, Italy, Spain are in line with the UIP condition.We provide some policy implications that can be used as guiding tools for financing andinvestment dicisions in PIGS of European Union.

中文摘要 ................................iii
英文摘要 ................................iv
誌謝  ................................v
內容目錄 ................................vi
表目錄  ................................vii
圖目錄  ................................viii
第一章  緒論..............................1
第一節  研究背景與動機.........................1
第二節  研究目的............................4
第三節 研究架構與流程.........................5
第二章  理論基礎與相關文獻回顧.................... 7
第一節 理論基礎介紹..........................7
第二節 國外文獻回顧........................ . 9
第三節 國內文獻回顧..........................21
第三章  研究方法與理論模型.......................36
第一節  研究方法.......................... . 37
第二節  理論模型.......................... . 43
第四章  實證結果與分析.........................45
第一節  資料來源說明........................ . 45
第二節  實證模型建立........................ . 45
第三節  實證結果分析........................ .47
第五章  結論..............................51
參考文獻.................................53

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