本研究以 Johansen 共整合檢定方法來檢驗新台幣兌美元的未來即期匯
率及一個月期、 兩個月期、 三個月期、 和六個月期的遠期匯率之間的共整合
關係, 以了解台灣單一國家內的外匯市場是否為效率市場。 實證上, 大多採用
Johansen 提出的 RRML (reduced rank maximum likelihood) 估計共整
合參數, 本文將誤差項的 GARCH (generalized autoregressive conditional
heteroskedasticity) 效果納入考慮, 採用 Herwartz & L¨utkepohl 的方法, 在
考慮 GARCH 效果之下, 以 FGLS (feasible generalized least squares) 估
計共整合參數。
由 Johansen 的共整合檢定方法得到台灣的即期匯率與兩個月期、 三個月
期和六個月期的遠期匯率並不存在共整合關係。 而一個月期遠期匯率和即期
匯率所估計出共整合參數的結果可以了解, Herwartz & L¨utkepohl 的 FGLS
方法得到的結果比 Johansen 提出的 RRML 更接近外匯市場效率性的理論
值, 顯示 FGLS 方法更一般化, 在考慮 GARCH 效果之下, 可得到更精準的
共整合向量。

According to simple market efficiency hypothesis, the long-run relationship between spot exchange and forward exchange rate would exist as exchange markets are efficient. With the purpose of this study is to examine if forward exchange market in Taiwan is efficient by cointegration theory. Instead of Johansen’s reduced rank MLE, we consider a new method - Herwartz & L¨utkepohl’s FGLS with GARCH to re-estimate the cointegration vector of simple market efficiency hypothesis in Taiwan.
Conclusively, the result of cointegration relationships exist only in maturity of one month forward and spot exchange rate. and the cointegration
vector gets more precisely by Herwartz & L¨utkepohl’s FGLS method with
GARCH.

1 緒論 1
1.1 研究動機與目的 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 文章架構 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2 理論模型與文獻回顧 3
2.1 理論基礎 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 文獻回顧 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3 研究方法 9
3.1 單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.2 共整合檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.3 一般化自我相關條件異質變異模型 GARCH . . . . . . . . . . 17
3.4 GARCH 效果檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.5 理論模型 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
3.6 以 FGLS 方法估計 GARCH 效果之下的共整合參數 . . . . . 22
4 實證結果分析 26
4.1 資料來源與處理 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
4.2 單根檢定結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
4.3 VAR 模型最適落後期數 p 之選擇 . . . . . . . . . . . . . . . . . . 28
4.4 共整合數目的檢定結果 . . . . . . . . . . . . . . . . . . . . . . . . . 29
4.5 ARCH 效果檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
4.6 共整合參數估計結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
5 結論與建議 33
參考文獻 35

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