本文以6個工業化國家為研究對象，樣本觀察期間從1974年～2012年的季資料與月資料，觀察時間區分為：全期（1974年～2012年）、1991年前與1991年後，企圖捕捉實質匯率與利率差的長期相關性。
本文以原始資料與頻率濾通器（band-pass filter）處裡過後之資料，來檢驗實質匯率與利差的長期關聯性與匯率的短期動態調整行為。
實證結果顯示，無論季資料、月資料，觀察時間類別為全期、1991年前或1991年後，皆發現經頻率濾通器（band-pass filter）處理過後的資料，其Johansen共整合檢定與誤差修正模型的建立，皆較原始資料有明顯的改善，有助於得到具理論預期之實質匯率與利率差的長期相關性。此顯示出相關文獻無法得到與理論預期相一致之實質匯率與利差長期關係，其主要因素為原始資料的高頻率資料產生干擾所致。

The purpose of this paper is to apply the method of band-pass filtering to extract medium and low frequency information from raw data, and then applied the extracted data to examine the long-term relationships of real exchange rates and interest rate differentials.
Both monthly and quarterly data over 1974～2012 are applied. Our empirical results show that data after band-pass filtering improved drastically based on unit root tests, Johansen’s cointegration test and error-correction estimation, compared to raw data.
Our evidence indicated that it is the interference of high frequency part in the raw data leading to the discrepancy of the theoretical predictions on long-term real exchange rates and interest rate differentials.

論文審定書 i
謝辭 ii
摘要 iii
Abstract iv
目錄 v
表次 vii
第一章、緒論 1
1.1研究動機與目的 1
1.2研究流程 2
第二章、文獻回顧 3
第三章、研究架構 15
3.1理論模型 15
3.2研究方法 17
3.2.1單根檢定 17
3.2.2共整合檢定 21
3.2.3頻率濾通器 25
第四章、研究結果 26
4.1 資料說明 28
4.2 實證結果 30
4.2.1 單根檢定 30
4.2.2 共整合檢定 36
4.2.3頻率濾通器 41
4.2.4 誤差修正模型與共整合向量關係式 45
第五章、結論 52
參考文獻 53

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