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| 研究生： |
吳彥昇 Wu, Yen-Sheng |
|---|---|
| 論文名稱： |
經濟政策不確定性與未拋補利率平價說之關係 The relationship between economic policy uncertainty and uncovered interest rate parity |
| 指導教授： | 張元晨 |
| 口試委員: |
蔡湘萍
劉文謙 黃柏凱 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2020 |
| 畢業學年度： | 108 |
| 語文別： | 英文 |
| 論文頁數： | 48 |
| 中文關鍵詞： | 經濟政策不確定性 、未拋補利率平價說 |
| 外文關鍵詞： | Economic policy uncertainty, Uncovered interest rate parity |
| DOI URL： | http://doi.org/10.6814/NCCU202001120 |
| 相關次數： | 點閱：246 下載：55 |
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For over forty years, many economists have found that uncovered interest rate parity (UIRP) does not hold. Most previous findings indicated that currency forward premiums negatively predict changes in spot exchange rates, however, results based on data after the global financial crisis show different patterns. In this paper, I explore the relationship between US economic policy uncertainty and UIRP and find that, when uncertainty is extremely high, forward premiums positively predict changes in spot exchange rates, especially for Swiss Franc and Japanese Yen. In addition, when uncertainty is moderately low, UIRP violations for currencies of European countries and Canada are more prevalent.
1. Introduction 4
2. Uncovered Interest Rate Parity 5
3. Related Literature 6
4. Data and Model 12
4.1 Data 12
4.2 Model 14
5. Empirical Evidence 15
5.1 The Fama Regression 15
5.2 The Fama Regression and US EPU 19
5.3 The Fama Regression and US EPU: the pre-crisis and post-crisis period 24
5.3.1 the pre-crisis period 25
5.3.2 the post-crisis period 28
6. Robustness Check 28
7. Conclusion 31
References 33
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