本文探討我國隔夜拆款市場報酬率與波動率的變化，國外文獻發現拆款利率與準備金提存制度及假日效應有密切的關係 (Hamilton,1997)，本文利用我國自 2000 年 2 月 5 日到 2002 年 2 月 6 日之間的隔夜拆款市場資料探討在現行月準備提存制度之下，影響隔夜拆款市場利率報酬與波動率的主要因素。本文的實證結果發現我國隔夜拆款利率市場的變化不但受到準備金提存制度的影響，而且也受到非星期假日及週休二日制度改變的影響。後續研究者可以根據本文的研究成果，進一步比較不同模型對隔夜拆款市場報酬率及波動率的預測準確程度。 This study examines the time-series properties that generate the daily over-night interbank money market in Taiwan. A generalized autoregressive conditional heteroskedasticity (GARCH) model is estimated by incorporating dummy variables to account for the predictable changes due to the reserve maintenance period, weekend, and holiday effects. Our results show that over-night rate was affected not only by the reserve requirement system but also by the launch of two-day weekend holidays. It will be interesting to compare the forecastability of the over-night rate using our model in the future.
