在國際財管的領域中,未拋補利率平價與拋補利率平價占有舉足輕重的地位。過去的許多研究發現通常拋補利率平價是成立的。然而,在未拋補利率平價的部份,卻常常不成立。
因此,本篇論文考慮動態利率模型與加入凸性因素建立一個不同於以往的迴歸式重新檢定未拋補利率平價與拋補利率平價。運用新的方法,其結果發現拋補利率平價是成立的而未拋補利率平價仍不成立。但不同於以往的文獻,本論文發現利差與匯率間的關係為正相關。且運用CIR模型迴歸式的係數是較接近一的,故可說其表現能力是優於傳統方法。

In the field of international finance, uncovered interest rate parity (UIRP) and covered interest rate parity (CIRP) are the important foundation. The previous studies have shown the existence of CIRP. However, UIRP is not held except utilizing data on the long-term interest rate. As a result, our paper considers the dynamic process of interest rates and utilizes the new regression which adds a new factor, convexity, to reexamine UIRP and CIRP. In our conclusion, we still find CIRP holds but UIRP is not in this paper. However, the slope coefficient from the linear function of the change in the foreign exchange rate on the interest rate differential is positive in the test of UIRP. It is different from the previous results documented in finance literature, and then we can find the slope coefficient of the CIR model is closer to one than the traditional model. As a result, even if the R2 of the CIR model is worse than the traditional model, we can claim that the method which utilizes the dynamic process of interest rates to reexamine UIRP is superior to the traditional one.

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