文獻上對於實質利率平價說的檢定，大多是在線性模型的設定下進行分析。但此卻忽略了實際現象中，因交易成本的存在，變數可能呈現非線性調整的現象，因此模型的設定就必須具有非線性調整的特性。由於線性模型無法捕捉到非線性模型的走勢，故傳統的檢定結果之可信度有待商榷，本文將非線性的因素納入考量，重新檢驗法國、德國、義大利、荷蘭與英國對美國之實質利率平價說。

首先，本文採用Granger and Teräsvirta（1993）and Teräsvirta（1994）所提出的方法，檢定實質利差是否具有非線性調整的特性，再由線性與非線性之單根檢定法來判斷，實質利差是否為一恆定的序列，進而判定實質利率平價說是否成立。再由非線性之誤差校正模型，找出究竟是本國因素或外國因素對實質利差的變動影響較大。並同時將時間因素放入模型中，試圖檢驗實質利差之長期均衡值是否為定值。

實證結果顯示，歐洲五個工業國家中，有四個國家支持實質利率平價說的成立，且實質利差之長期均衡值不一定是固定值。而誤差校正模型的實證結果顯示，有部份國家的實質利差走勢同時受到本國與美國的影響，其餘國家受本國影響較大。

In this paper, we have employed non-linear model reexamine real interest parity (RIP) of five European economies with respect to the US. We focus on using linear and nonlinear unit root tests to test real interest rate differentials (RIRD). And we add time trend in the logistic and exponential smooth transition regression models to monthly data. The results are as follows. First, the evidence for the full-sample is favorable using three traditional unit root tests and one powerful nonlinear unit root test. Almost all economics are support real interest parity. Second, we use nonlinear error correction model to find which factors influence on RIRD. There are three economics influenced by both domestic and foreign factors at the same time.

目 錄
第一章 緒論………………………………………………………p.1
第二章 理論模型與文獻回顧
第一節 理論模型---實質利率平價說…………………………p.4
第二節 文獻回顧……………………………………….……...p.6
第三章 計量方法與模型介紹
第一節 單根檢定……………………………………………....p.9
第二節 線性與非線性模型的判定……………………………p.13
第三節 誤差校正模型………………………….……………...p.17
第四章 實證結果分析
第一節 資料選擇與說明………………………………………p.20
第二節 資料處理………………………………………………p.21
第三節 實證模型………………………………………………p.21
第四節 實證步驟…………….…………………………………p.22
第五節 建立模型…………………………………….…………p.27
第六節 誤差校正模型…………………………………….……p.29
第五章 結論…………………………………….…………………p.33




參考文獻…………………………………………………………….p.34
附圖
（圖一）…………………………………………………………….p.37
（圖二）…………………………………………………………….p.38
（圖三）…………………………………………………………….p.39
附表
（表ㄧ）…………………………………………………………….p.41
（表二）…………………………………………………………….p.42
（表三）…………………………………………………………….p.43
（表四）…………………………………………………………….p.44
（表五）…………………………………………………………….p.45
（表六）…………………………………………………………….p.46
（表七）…………………………………………………………….p.47
（表八）…………………………………………………………….p.47
（表九）…………………………………………………………….p.48
（表十）…………………………………………………………….p.51
（表十一）………………………………………………………….p.53
（表十二）………………………………………………………….p.32

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