博碩士論文 etd-0625110-215134 詳細資訊


[回到前頁查詢結果 | 重新搜尋]

姓名 王政鈞(Cheng-chun Wang) 電子郵件信箱 nike012030@hotmail.com
畢業系所 企業管理學系研究所(Business Management)
畢業學位 碩士(Master) 畢業時期 98學年第2學期
論文名稱(中) 利率期間結構與匯率關係之研究
論文名稱(英) The relationship between the term structure and the exchange rate
檔案
  • etd-0625110-215134.pdf
  • 本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
    請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
    論文使用權限

    電子論文:校內校外均不公開

    論文語文/頁數 中文/61
    統計 本論文已被瀏覽 5567 次,被下載 0 次
    摘要(中) 自1973年浮動匯率制度確立以來,匯率的變動不只是企業或政府所關注的,一般家庭大眾也非常關心。企業關心匯率的走勢會牽動他們的獲利,一般大眾關注出國旅遊或者留學時的成本,更重要的是,匯率不只影響收益或成本,甚至可用來當作一種投資工具。
        本文主要是驗證利率期間結構對於匯率的解釋能力,過去許多研究已證實利率期間結構能夠預測經濟走勢,且經濟走勢能夠預測匯率,但過去卻無研究直接利用利率期間結構(term structure)去預測匯率,而是先經過複雜的模型計算風險溢酬(risk premium)去預測,因此本研究主要目的為:1. 檢驗利率期間結構是否能夠預測匯率。2. 過去研究顯示實質長期利率對於匯率是最具有預測力的,因此本文也將比較利率期間結構與實質長期利率這兩個解釋變數,看何者較具有預測力。3. 利用樣本外預測(out of sample)的方式來與隨機漫步模型(random walk)來做比較,看何種方式預測較為準確。
        本文實證結果顯示,利率期間結構變動率對於匯率的預測結果是顯著為負,代表當利率期間結構上漲時,本國匯率將升值,且預測能力較其他模型與解釋變數好。
    摘要(英) Since the floating exchange rate regime was set up in 1973, the issue of exchange rate has been concerned not only by corporate organizations but also folks. For multinational corporate institutions, exchange rate plays an important role in their profit. For folks, exchange rate influences the cost of going abroad. What’s more, it is also one of investment tool for making profits.
      There are many empirical researches attesting that the term structure can forecast economic growth, and the exchange rate can be predicted by economic growth. However, no researches have shown the direct relationship between the term structure and the exchange rate. Therefore, the main purpose of this article is to examine whether the term structure can predict the exchange rate or not, and then to us this result to compare with the empirical result in which many researches claim that the real long term interest rate can predict the exchange rate very well. In the final step, we use the method of out of sample test to examine our model and random work model to make our examination more robust.
      In conclusion, our empirical research attests that the relationship between the term structure and the exchange rate is significantly negative. This result also shows that the ability of our model’s prediction is better than that of others.
    關鍵字(中)
  • 經濟成長
  • 實質長期利率
  • 利率期間結構
  • 匯率
  • 關鍵字(英)
  • term structure
  • economic growth
  • real long term interest rate
  • the exchange rate
  • 論文目次 致謝詞 I
    摘要 II
    Abstract III
    目錄 IV
    第壹章 緒論 1
    第一節 研究動機 1
    第二節 研究目的 2
    第三節 研究架構 4
    第貳章 文獻探討 7
    第一節 利率與匯率 7
    第二節 實質長期利率對匯率 7
    第三節 利率期間結構風險溢酬對匯率風險溢酬 8
    第四節 利率期間結構對經濟成長 9
    第五節 經濟成長對匯率 10
    第六節 小結 12
    第参章 建立實證模型 13
    第一節 資料來源與處理 13
    第二節 研究方法與假設 15
    第三節 本章小節 19
    第肆章 實證結果與分析 20
    第一節 解釋變數的選擇與分析結果 20
    第二節 穩健性(robust)檢定 25
    第伍章 結論 28
    參考資料 30
    附件 33
    參考文獻 中文參考文獻
    何欽淵,日內委買委賣張數與大盤指數關聯性之研究-以台灣股市為例,國立中正大學國際經濟研究所碩士論文,2006。
    施向陽,匯率變動預測模式之研究,大葉大學事業經營研究所碩士論文,2000。
    黃緯祺,資產間接互補性和實質匯率決定,世新大學經濟學研究所碩士論文,2004。
    盧信銘,匯率預測與隨期漫步假說,國立臺灣大學經濟學研究所碩士論文,2002。
    英文參考文獻
    Ahn, A., and M. Piazzesi, 2003, A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables, Journal of Monetary Economics, 50, 745-787.
    Ang A., Piazzesi M. and Wei M., 2006, What does the yield curve tell us about GDP growth? Journal of Econometrics, 131, 389-403.
    Ahn, D.H., 2004, Common Factors and Local Factors: Implications for Term Structures and Exchange Rates, Journal of Financial and Quantitative Analysis, 39, 69-102.
    Backus D.K., S. Foresi and C.I. Telmer, 2001, Affine Term Structure Models and the Forward Premium Anomaly, Journal of Finance, 51, 279-304.
    Bergstrand, J.H.(1991) Structural determinants of real exchange rates and national price levels: Some empirical evidence, American Economic Review, 81(1), 325–334.
    Berka, M. and M.B. Devereux, 2010, What determines European real exchange rates? NBER working paper, No. 15753.
    Bhattarai, K., 2008, Growth and exchange rates in the global economy, University of Hull.
    Boughton, J. (1988) Exchange rates and the term structure of interest rates.
      IMF Staff Papers 35, 36-62.
    Brennan, M.J., and Y. Xia, 2006, International capital markets and foreign exchange risk, Review of Financial Studies, 19, 753-795.
    Chinn, M. and G. Meredith, 2004, Monetary policy and long-horizon uncovered interest parity, IMF Staff Papers, Vol. 51, No. 3.
    Chortareas, G.E. and R.L. Driver, 2001, PPP and the real exchange rate – real interest rate differential puzzle revisited: Evidence from non-stationary panel data, Bank of England Working Paper Series, No.138.
    Dewachter, H. and K. Maes, 2001, An admissible affine model for joint term structure dynamics of interest rates, University of Leuven Mimeo. 
    Diez de los Rios, A., 2009, Can affine term structure models help us predict exchange rates, Journal of Money , Credit and Banking, 41(4), 755-766.
    Dornbusch, R., 1976, Expectation and exchange rate dynamics, Journal of Political Economy, 84, 1161-1176.
    Dong, S., 2006, Macro variable do drive exchange rate movements: evidence from a no-arbitrage model, Columbia University Mimeo.
    Edison, Hali J. and Pauls, B. Dianne, 1993, A re-assessment of the relationship between real exchange rates and real interest rates: 1974-1990, Journal of Monetary Economics, 31, 165-187.
    Estrella, A. and G.A. Hardouvelis, 1991, The term structure as a predictor of real economic activity, Journal of Finance, 46, 555-576.
    Estrella, A. and S.F. Mishkin, 1997, The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank, European Economic Review, 41, 1375-1401.
    Estrella, A. and Trubin, M.R., 2006, The yield curve as a leading indicator:
    Some Practical Issues, Federal Reserve Bank of New York, Current Issue in Economics and Finance , 12, No. 5.
    Estrella, A. and Mishikin, F.S., 1997, The Yield Curve as a Leading Indicator of U.S recession, Federal Reserve Bank of New York, Current Issue in Economics and Finance, 2, No. 7.
    Fleming, M., 1962, Domestic financial policies under fixed and under floating exchange rates, IMF Staff Papers, 9, 363-380.
    Frachot, A., 1996, A reexamination of the uncovered interest rate parity hypothesis, Journal of International Money and Finance, 15, 419-437.
    Isard, P., 1995, Exchange rate economics, Cambridge Univ. Press, Cambridge.
    Karunaratne, N.D., 1999, The yield curve as a predictor of growth and recession in Australia, Mimeo, University of Queensland, Australia.
    Leippold, M. and L. Wu, 2003, Design and estimation of multi-currency quadratic models, University of Zurich Mimeo.
    Mark, N., 1995, Exchange rates and fundamentals: evidence on long-horizon predictability, American Economic Review, 85, 201-218.
    Mark, N.C. and Wu, Y., 1998, Rethinking deviations from uncovered interest parity: the role of covariance risk and noise, The Economic Journal, 108, 1686-1706.
    Meese, R.A. and K. Rogoff, 1998, Was it real? The exchange rate-interest rate differential relation over the modern floating-rate period, Journal of Finance, 43, 933-948.
    Meese, R.A. and K. Rogoff, 1983, Empirical exchange rate models of the seventies, do they tit out of sample, Journal of International Economics, 14, 3-24.
    Mody A. and M. P. Taylor , 2003, The high-yield spread as a predictor of real economic activity: evidence of a financial accelerate for the United States, IMF Staff Papers, Vol. 50, No. 3.
    Mundell, R. A., 1963, Capital mobility and stabilization policy under fixed and flexible exchange rates, Canadian Journal of Economics and Political Science, 29, 475-485.
    Ogaki, M. (1990) The indirect and direct substitution effects, American Letters, 65(1), 25-31.
    Ogaki, M.,1999, A theory of exchange rates and the term structure of interest rates, the Ohio State University.
    Ogaki, M. and J. Santaella, 2000, The exchange rate and the term structure of interest rates in Mexico, Journal of Development Economics, 63, 135-155.
    Rosenberg, M., 2003, Exchange-rate determination: models and strategies for exchange-rate forecasting, McGraw-Hill.
    Solakoglu, M.N., E. Solakoglu and T. Demmirag, 2008, Exchange Rate Volatility and Exports: a Firm-Level Analysis, Applied Economics, 40, 921-929.
    Wu, S., 2004, Interest rate risk and the forward premium anomaly in foreign exchange markets, Journal of Money, Credit and Bank, 39, 423-442.
    參考電子媒體資料
    趙燕京,浮動匯率制下匯率波動的特點,人民網,2001,February 27
    口試委員
  • 黃振聰 - 召集委員
  • 廖源星 - 委員
  • 梁慧玫 - 指導教授
  • 秦長強 - 指導教授
  • 口試日期 2010-06-02 繳交日期 2010-06-25

    [回到前頁查詢結果 | 重新搜尋]


    如有任何問題請與論文審查小組聯繫