台灣與國外利率相關性之研究

Abstract

由於金融自由化與國際化，使得國內利率逐漸進入自由化時代。因此 ，不管是政府在擬定經濟政策或避險者在採用利率期貨來避險時，皆須考 量台灣與國外利率相關性之問題。 本文以重貼現率為代表利率，採 用Engle &Granger(1987)所發表的共整合理論及Granger 因果檢定法，針 對台灣與跟我國外貿較密切的國家進行實證研究以探討我國與與國外利率 長期及短期動態的關係。研究結果發現： １．我國與美國、日本、英國 、德國、義大利、加拿大之重貼現率於長期下無法拒 絕無共整合的存 在，即在長期下，台灣與上述國家之重貼現率可能不具有一致 性變動 。 ２．關於短期動態關係上，我國重貼現率之變動落後美國的變動約九 個月，至於其 他國家的重貼現率與我國則沒此種關係。 Owning to financial freedom and internationalization, our interests are gradually free. When the government makes economic policies, or hedgers use interest rate futures to cross-hedge, they need to think of the interest rate relationship between Taiwan and other countries. I select discount rate and use Engle's and Granger's theory of co-integrationand Granger Causality test to examine the relationship between America、 Japan、Germany、U Kingdom、Canada、Italy and Taiwan. I find:1. In long- term, Taiwan and other countries have no co-integration in discount rate.2. In short-term, movements in Taiwan's discount rate fall behind movements in American discount rate. Time lag is about nine months. However, Taiwan and the other countries have no short-term dynamic relationship.