An empirical study on Euro-dollar interest rate parity
碩士 === 國立政治大學 === 行政管理碩士學程 === 93 === The emergence of Eurodollar exemplified a significant reformation in the world financial system since the fixed rate had been broken in 1970, which brings far-reaching significance to the global finance and social culture. Therefore some discussions on exchange...
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ndltd-TW-093NCCU51490152015-10-13T13:01:32Z http://ndltd.ncl.edu.tw/handle/99663109586969858048 An empirical study on Euro-dollar interest rate parity 歐元利率平價說之實證研究 chen ,yueh-chih 陳悅治 碩士 國立政治大學 行政管理碩士學程 93 The emergence of Eurodollar exemplified a significant reformation in the world financial system since the fixed rate had been broken in 1970, which brings far-reaching significance to the global finance and social culture. Therefore some discussions on exchange rate, interest rate and price relationship in the range of US Dollar and Eurodollar are one of focuses the international financial market concerns; On the basis of the three kinds of interest rate parity Frankel brought forward (1992) including Covered Interest Parity (CIP), Uncovered Interest Parity (UIP) and Real Interest Parity (RIP), this research mainly proves their feasibility. For the empirical methods, the Dickey & Fuller (1979, 1981)’s ADF unit root test was used to confirm the characteristics of variable series in this research; additionally, Johansen’s maximum likelihood method (1988) was adopted to do the empirical analysis on CIP, UIP and RIP. Based on the empirical results, we found out that the CIP and UIP are tenable simultaneously in the range of tenable US Dollar and Eurodollar from 1999 January to 2004 July. That means when return on asserts between two counties has some differences, it would become towards equality lastly on the basis of international capital mobility. And the null hypothesis that the forward rate is an unbiased predictor of the future spot rate can be employed, revealing the foreign exchange market in the range of Eurodollar and US Dollar has certain efficiency. Additionally, The empirical results of this research do not support the RIP, because it would vary with different prices and proportion used while making the price index in the range of Eurodollar and US Dollar, and cannot present equitable exchange rate; furthermore, because of imperfect current currency and commodity markets, and many unconsidered factors such as people’ incompletely anticipation and money illusion, most researches for validating RIP fail to find out its balanced parity relation. 朱美麗 2005 學位論文 ; thesis 52 zh-TW |
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碩士 === 國立政治大學 === 行政管理碩士學程 === 93 === The emergence of Eurodollar exemplified a significant reformation in the world financial system since the fixed rate had been broken in 1970, which brings far-reaching significance to the global finance and social culture. Therefore some discussions on exchange rate, interest rate and price relationship in the range of US Dollar and Eurodollar are one of focuses the international financial market concerns; On the basis of the three kinds of interest rate parity Frankel brought forward (1992) including Covered Interest Parity (CIP), Uncovered Interest Parity (UIP) and Real Interest Parity (RIP), this research mainly proves their feasibility. For the empirical methods, the Dickey & Fuller (1979, 1981)’s ADF unit root test was used to confirm the characteristics of variable series in this research; additionally, Johansen’s maximum likelihood method (1988) was adopted to do the empirical analysis on CIP, UIP and RIP. Based on the empirical results, we found out that the CIP and UIP are tenable simultaneously in the range of tenable US Dollar and Eurodollar from 1999 January to 2004 July. That means when return on asserts between two counties has some differences, it would become towards equality lastly on the basis of international capital mobility. And the null hypothesis that the forward rate is an unbiased predictor of the future spot rate can be employed, revealing the foreign exchange market in the range of Eurodollar and US Dollar has certain efficiency. Additionally, The empirical results of this research do not support the RIP, because it would vary with different prices and proportion used while making the price index in the range of Eurodollar and US Dollar, and cannot present equitable exchange rate; furthermore, because of imperfect current currency and commodity markets, and many unconsidered factors such as people’ incompletely anticipation and money illusion, most researches for validating RIP fail to find out its balanced parity relation.
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author2 |
朱美麗 |
author_facet |
朱美麗 chen ,yueh-chih 陳悅治 |
author |
chen ,yueh-chih 陳悅治 |
spellingShingle |
chen ,yueh-chih 陳悅治 An empirical study on Euro-dollar interest rate parity |
author_sort |
chen ,yueh-chih |
title |
An empirical study on Euro-dollar interest rate parity |
title_short |
An empirical study on Euro-dollar interest rate parity |
title_full |
An empirical study on Euro-dollar interest rate parity |
title_fullStr |
An empirical study on Euro-dollar interest rate parity |
title_full_unstemmed |
An empirical study on Euro-dollar interest rate parity |
title_sort |
empirical study on euro-dollar interest rate parity |
publishDate |
2005 |
url |
http://ndltd.ncl.edu.tw/handle/99663109586969858048 |
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