第一節 結論
在過去的文獻中不乏見到利率平價說之實證研究，考慮各種可能因素，欲闡 述理論之成立與否的原因。早期多採線性模型進行迴歸分析預測，之後有相關的 非線性模型被提出及運用，使利率平價說備受重視。非線性模型多以門檻自我迴 歸模型（TAR）為研究方式，本研究改以平滑轉換自我迴歸模型（STAR）作為研 究方式，進行已拋補利率平價說之驗證，並說明利差交易之獲利可行性。
以下歸納本研究之幾點結論：
1. 以日圓為融資貨幣，美元、澳幣、英鎊及歐元為目標貨幣，進行已拋補利率平 價說之驗證。結果顯示歐元區對日本之兩國利差與遠期匯率折、溢價幅度的差值
（D）存在線性關係；而美國對日本、澳洲對日本、英國對日本則有呈現非線性關 係，可進行以下之非線性 STAR 模型建立。
2. 經研究澳洲對日本、英國對日本可用 STAR 模型描述 D 值之偏離調整過程。
而美國對日本一組，由於其調整速度（γ）過大，使 STAR 模型退化為非線性 TAR 模型。但根據均方根差判斷，三組非線性模型均具有良好之預測能力。
3. 美國對日本、英國對日本在預測期間內已拋補利率平價說均成立，同時也隱含 金融市場及外匯市場為有效率，因此無法藉利差交易獲取額外利益。而澳洲對日 本一組，已拋補利率平價說僅在預測初期有成立，長期下逐漸偏離已拋補利率平 價說均衡，金融市場及外匯市場不具效率，因此對於此組合資金持有者將可藉利 差交易獲取額外利益。
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第二節 未來建議
本研究主要以日圓為融資貨幣，美元、英鎊、澳幣、歐元等為目標貨幣，以 平滑轉換自我迴歸模型進行各國的已拋補利率平價說實證。最後提供幾點未來研 究上之建議
1. 從市場資料可以明顯發現，利差交易並非僅存在上述國家間，尚有其他貨幣亦 作為資金持有者之融資貨幣或目標貨幣。因此在往後研究中，可考慮採用其他不 同的貨幣組合，再行驗證已拋補利率平價說，或許能獲得更佳的 STAR 模型配適 及預測能力。
2. 從本研究結果可以發現，美元兌日圓一組由於其調整速度（γ）過大，導致平 滑轉換自我迴歸（STAR）模型退化為門檻自我迴歸（TAR）模型。故可考慮直接 採用非線性 TAR 模型進行利率平價說之實證，比較是否能比 STAR 模型有更佳之 預測能力。
3. 本研究利率、匯率等資料主要來自台灣經濟新報及 Datastream，然而各資料庫 提供多種不同天期、來源之利率、匯率資料，因此若選擇不同天期或來源之原始 資料，可能導致不同之推論結果。
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