本文研究亞洲工業產值最高的四個國家，位置在東亞的台灣、南韓、日本以及中國大陸，其外匯市場是否有跨國效率性。實證上先使用時間序列方法，檢測四國兌換美元的即期匯率之間是否有共積的出現。計量方法分別使用雙變量的VAR 模型，倆倆檢測共積關係；另外也使用四元VAR模型檢測四國匯率有無共積。需注意的是，本文在建構VAR模型時，考慮了誤差項的ARCH效果。結果發現大部分數據都沒有共積出現，有了以上實證結果，再根據Granger(1986)對於投機性資產的市場效率性的看法，得到四國外匯市場有跨國市場效率性的結論。

This paper attempts to test the cross-country efficiency in the foreign exchange market for four countries in East Asia : Taiwan, South Korea, Japan and China,whose values of industrial output are the top four in Asia. This paper use time series methods to test whether the cointegration relations exist or not in U.S. dollar spot exchange market of the four countries . This paper use two econometric models : 2 X 1 VAR model to test mutual co-integration and 4 X 1 VAR model to test co-movements for the foreign exchange rates of the four countries. Additionally, the models includes ARCH effects for the error terms.The empirical results mostly show that there are no cointegration relationships between four countries' spot exchange rates . Based on above results as well as Granger's perspective to the market efficiency of speculative assets in 1986, this study concludes that the hypothesis of cross country efficiency holds for these four countries' foreign exchange market.

緒論 1
研究動機與目的 1
文章架構 2
理論模型與文獻回顧 3
外匯市場效率性 3
文獻回顧 6
研究方法 9
模型設定 9
最適落後期數的選擇 11
廣義自我迴歸條件異質 (GARCH) 12
單根檢定 14
共積檢定 16
在條件異質誤差假設下, 估計共積的數目 26
使用GLS 估計帶有條件異質殘差的 VECM 裡面的參數 29
實證結果分析 33
資料來源與符號定義 33
單根檢定結果 34
共積檢定結果 35
誤差修正模型的係數估計 39
VAR落後期數的選取 39
Johansen共積數目估計 40
估計GARCH 模型的參數 40
估計共積向量與誤差修正係數向量 42
誤差修正模型與隨機漫步模型預測能力的比較 43
結論與建議 44
附錄 46
參考文獻 47

[表一.]研究期間內四國外匯敘述統計表 33
[表二.]單根檢定 34
[表三.]四種匯率倆倆之間是否有共積關係 36
[表四.]由 BIC 選擇共積模型 37
[表五.]台幣與日幣共積關係統計量, 模型一 37
[表六.]台幣與日幣共積關係統計量, 模型二 37
[表七.]四種貨幣之間的兌換美元即期匯率有幾組共積關係 38
[表八.]由 BIC 選擇共積模型, 四國 VAR 38
[表九.]四國 VAR 模型共積檢定統計量, 模型二 38
[表十.]VAR 最適落後期數的選取 39
[表十一.]GARCH 參數估計 41
[表十二.]VECM 與 RWM 的模型預測能力 43

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