效率市場假說 (efficient market hypothesis； EMH)的存在使得財務市場的資產定價不容易有套利空間，但是因為財務資料具有獨特的價格波動聚集( volatility clustering) 效果，使得波動性的預測變得可以預測與掌控，應用在衍生性金融商品如選擇權，通貨交換，換匯換利上可能都有獲利空間。本文探討遠期外匯市場的效率性及如何具體的模型化。並由現今常用的匯率決定理論:拋補利率平價說（Covered Interest Parity,以下簡稱 CIP）及無拋補利率平價說Uncovered Interest Parity, 以下簡稱 UIP）復以台灣兌美元30天及90天遠期外匯市場作實證研究運用GARCH-M,EGARCH模型來驗證外匯市場效率性假說。結果顯示台灣美國匯率風險貼水與兩國的利差皆為I(0),表示利率穩定,隱含兩國利差穩定, 代表台灣的利率政策以美國FED『馬首是瞻』與美國利率維持一穩定的關係,另外運用Taylor(1989)無風險套利（covered interest arbitrage）模式計算台幣、美元報酬,其套利機率均偏低，如此CIP理論似乎是成立,自從遠期美元市場重新開放後，其效率性提高了,同時央行對市場干預程度亦減少,惟本文以Domowitz and Hakkio（1985）ARCH-M模型為基礎延深以GARCH-M、EGARCH模型對風險貼水進行估計，並參酌Felmingham (2003.2)所建構的迴歸模型方法來驗證外匯市場效率性假說,實證結果發現UIP、CIP平價説及外匯市場效率(Forward Market Efficiency以下簡稱FME)理論傾向不成立, 且遠期匯率的確偏離其理論值,隱含台灣、美國之間有套利的空間。然而探討遠期匯率是否不偏性論述各種說法不一, 可確定在匯率市場的效率性有因時因地而異的特性,所以效率市場研究乃是實證過程而非一理論。

Efficient market exist such that financial market make the absence of arbitrage opportunity on intertemporal asset price, There are special existence due to volatility clustering effect provides that the conditional volatility predictor could control, applying on derivative such as option、currency exchange、swap、exist possible arbitrage profits ,in this paper involve that forward market efficiency and how to prototype concrete, now we apply parity theory including covered interest parity and uncovered interest parity, then the study of both covered (CIP)and uncovered interest parity (UIP) plus FME are tested in the 30 and 90 forward markets for the NTD/USD exchange rate to examine market efficiency on using GARCH-M,EGARCH models , In the empirical tests, we find the NTS/USD dollar interest rate spread have I(o) property ,Results are provided for interest rate on stationarity indicating that interest differential is stationary ,the result also imply stationary relationship between Taiwan and USA on money policy, Using Taylor(1989) ，s covered interest arbitrage models, The empirical results show lower positive profit opportunities on NTD or US returns, covered interest parity may hold because NTS/US exchange market after reopening becomes more efficient than market after reopening, the central bank money policy intervention is influential but we test market efficiency hypotheses on basis of Domowitz and Hakkio（1985），s ARCH-M model deeply employing GARCH-M、EGARCH models to estimate Risk Premium，then employ Felmingham (2003.2) ，s regression equation to test forward market efficiency , the empirical results shows that not only CIP、UIP theory fail but also Forward Market Efficiency hypotheses cannot hold ,then future spot rates could be predicted by forward rates are worthy of investigate., It may indicate that foreign securities are imperfect substitutes for domestic ones of equivalent maturity and that market participants, implying that there is arbitrage profit opportunity between Taiwan and the USA, there are many arguments to discuss whether forward rates as an unbiased predictor of future spot rate ,Forward Market efficiency give the presence of the time varying premium on different place, Ultimately, therefore, the unbiased nature of forward rates is an empirical, and not a theoretical, issue。

目 錄


第一章 緒論
第一節 研究背景及動機………………………………………………………5
第二節 研究架構……………………………………………………………‥7
第二章 理論回顧與文獻探討……………………………………………………‥ 9
第一節 利率平價說之理論沿革與文獻探討…………………………………9
第二節 遠期外匯市場效率之理論沿革與文獻探討……………………… 17
第三節 遠期外匯市場效率性檢定………………………………… ‥…‥19
第三章 理論基礎與計量模型…………………………………………………‥‥23
第一節 無風險套利研究方法………………………………………………. 23
第二節 利率評價條件理論研究方法……………………………………… 25
第三節 似無相關迴歸模型…………………………………………………. 28
第四節 時間序列之恆定性單根檢定………‥…………………………… 32
第五節 自我迴歸異質條件變異數分析………………………………‥… 35
第六節 實證模型建立…………………………………………………‥‥ 43
第四章 資料說明與處理………………………………………………………… 49
第一節 資料來源…………………………………………………………… 49
第二節 匯率基本資料之敘述統計………………………………………… 50
第三節 單根檢定…………………………………………………………… 57
第五章 實證結果分析………………………………………………………‥‥…60
第一節 無風險套利模型驗證……………………………………………… 60
第二節 SUR模型實證分析………………………………………………… 63
第三節 ARCH效果檢定及GARCH、EGARCH模型的配適分析…………66
第四節 GARCH家族對UIP理論驗證……………………………………‥66
第五節 GARCH家族對CIP理論驗證………………………………………70
第六節 GARCH家族對FME理論驗證…………………………………… 73
第六章 結論與建議…………………………………………………………… ‥76

參考文獻…………………………………………………………………………… 78

附 錄 SAS程式範例………………………………………………………83

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