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政大機構典藏 > 社會科學學院 > 經濟學系 > 學位論文 > Item 140.119/87220

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/87220

Title:	由無拋補利率平價說檢定資本移動性--台灣的實證研究
Authors:	林昆英 Lin, Kun-Ying
Contributors:	朱美麗 Zhu, Mei-Li 林昆英 Lin, Kun-Ying
Keywords:	資本移動性無拋補利率平價說商業經濟 Capital mobility Business Economics
Date:	1997
Issue Date:	2016-04-28 10:31:04 (UTC+8)
Abstract:	台灣近年來逐漸放寬外匯及金融的管制措施，使得台灣與國際間的資本移動愈趨活絡，而國際間利息套利活動的發生，使得各國的外匯與金融市場相互結合在一起，匯率與利率相互影響且其關係愈形密切，當資本可以自由移動時，每個時點兩國間利率的差異應等於預期的即期匯率變動率，此時無拋補利率平價說成立。 In order to assess the degree of capital mobility of Taiwan in the sense of uncovered interest parity, this paper attempts to estimate the relationship between the return rate of domestic asset and the return rate of foreign asset with cointegration. Main conclusions are: In the first period(1985:9-1989:6), the return rate of domestic asset and foreign asset are not cointegrated by themselves. In the second period(1989:7-1993:12),a unique long- run relationship between these two variables can`t be rejected. But the hypothesis of uncovered interest parity is rejected. These empirical evidences imply that capital is not freely mobile in the first and second period. However, in the third period(1994:l- 1998:3),with fewer financial regulations, a unique long-run relationship between these two variables can`t be rejected. In addition, the coefficient of the return rate of foreign asset is insignificantly different from 1. It means that capital can moves most free in recent years.
Description:	碩士國立政治大學經濟學系 85258009
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002002191
Data Type:	thesis
Appears in Collections:	[經濟學系] 學位論文

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