新台幣對美元名目匯率及銀行間拆放款利率變化之機率分配研究

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(1)-RJf ~ '" It -k JL ~ fl. JJf ~i ;fk ~JJ ~ t. m! ~ & ~ft 1t r~, 1t. Z ~~ ~ ~ ~G liJf 1E. **. ~ ~. ~. tii. •••~.~~~M~~~~.~.I.~*~.*~~~~ft.o~~. ••• ~I~~M~.M**.~.~~~~~~~. •• &.ff~#~a~.~,~. •• '~~~.~ ••• ~~~ •••" •• ~A• • ~'.~. ~~8~~~&.~.~. ~.A~~mM~o*~~#*'.A~£~. .A.#~ ~:;t.~. , .-:J.&GARCH;Jjt1:!. 0. ~t*f-Jt~~;Jl~$~tl • • $I'~ ;jjM;Jl~./f.. .4~#~~~~&@'~~.4*. •. •••• ~a.0~-&m.oA•••. ~11~~~11)- ~;Wll!!.~{t:f~*~ jd~.Aff. ~i~~~a. 0. gjjl:.**~~B~~faJ11).~:iJIt. '. tiiGARCH;Jjt~~ A.~:i§4;jj1t;,,*4. lJ1.Mantegna&Stanley ~~i(. , jt1t. ;jja,,*.*~~11)-.~:iJltrn~~~ • • ~~.~A.~#'~.~~ft~ ••. •. ~~ff. 0. -.k. Jr " iii !JiHIJ. ~. ...:;!4.~. ij~ ~. fmJll(ltll! EI EEftW~~ftfijjjf.j'i~ III m:fi~W~ m1Ulf7J~ltIHrH~ ,. * fHi'" A;f..U.~~~, .thttA:( -. 147.

(2) ". [!JJ1Lam*~~¥&~-t:;+1i1l1J. ~*~. ••• ~~.m.~.M.~~~'®~*~~~~~.m$*.ff.Ma.~.~1. ~~®~~.~ ~~~~.~~~q,. ... ... •• ·~q'~*~m~~.~m.~*~~w·a~~.m~., ft.~.~.~. ~mw~*~~*mn~*~I.*.~,. ~~,~m~~**a. ~~*~m~tt*~.£~~.~m~~ • • ~·*~~.~. ~~.~~.M~. ~~§~*U&.ffOOfi~.~*~~z.*~~~tt·~~~. ~re~tt.~~ • • wm~tt*~.£oo~n~~.~m~ .~~~~ • • ffi.~. ·~~'~~~*~.£~I. ,m~M~ffi.~~~tt • • • M*~.~W~~~.~~~1. ft· R*~~*~n~ • • • • ~*~~zm~~ • • • ~.~~a.wM • • M*·M~'. Moore (1960)~~m*~.5tma • • IIJ!~ m-~~Ie ' Mandelbrot (1963).;ijitrHEM.fl~ ~.*Wm-~~~f§1t~.~~~~(1eptokurtic)&*~(fat-tailed)~Mtt ' JI~flJE~~(stable. distribution)' Fama (l965)WJ.JJl~ttI~a • • M*lj)\~f;tfj1jZ:flj1JLilfl~~~(stable Paretian distribution)' Press (1967)~B ~E~f~~(diffusiol1-jump. fiffa ~~. .M*~~~H~:&*~~Mft. a. .l-~m~.f&~~-=fZIlM. model with zero drift)*M~ , Fielitz& Smith (l972)J!rnj1jmfH~~. ¥IHiJfP$f.!!,~ittfj1jtl~~fd' Blattberg& Gonedes (1974)J;).. I~a • • M*~ t. , Hsu ' Miller & Wichern (1974)' Hagerman (l978)msmM9a• •M*~flJE~~ ,. (l977)x~~E~rB,.~§amn~~.~Emtl~ ~~re~7~~(mixture. of. , Westerfield (1977)W Kon (1984)J!1JJ;).i. distributions)~ 1m tHi ~ a. J;)'f.!!,~F~fiX~~-=fZ~.~ElfItl. ••M. ~ Ie'. Beckers. (l981)~fJ. ~"gM~a • • M*~~' ® Ball & Torous (1983)Rfj~;. ~Fa1-'-~~F~fiX~~-=ffB~flj(Bernoulli)~ElfIm~lj)\m~~~a • • M*~IC~~' Fielitz:&'. Rozelle (l983)J;).~m-t~~tl~~~~¥~~ms~J;)'M~a.¥IHI* • Lee (1989)RJJl~F~JiX~ -=fW~F~~E~~-=f Z~.~Emm. 15:"gM~a.~.M*· Tucker (l992)JtIJ. ~rm~~~.~Eiif~~fi~~M~a. 5&m-mUt~. .M*Z~Ie· Mittnik& Rachev (1993)RIJRJJlf!tHa. m~F~.Z.JNnonrandom-minimum)~~W~.~(geometric-random summation)~~fB(Weibull). ~ 1!1UJt ~:flj tj[III fI~ ~ ~ ~"gM ~ 3t:. ft m: 500(S&P500)~ a • • M. Stanley (l996)~m~3t:.ftm: 500~a~.M*@~IU:rl!)HB'15:Jj\~-~., 148 . *.. ~mf8tJLlllti.

(3) .... ". ~.Mti.~~§~$&mffMfia.~$~~Z~$~~m~. !~E~~m • • M~~~ • • $ffi~~~·OOffl $~[JJIt~~EfJ!ir~Fftmm]if~j(fl' ffij.l3.-~~. ARCH (Engle, 1982):&GARCH (Bollerslev,. 1986H~ ~ ii~:r:figit 1l§t~.M$fF I±lf§l!Hfc~E~. ~1P:'~~~:itiJf~. m.~E*~~*M$ffi~~E.,g. •. .i:.M~~fl*~Etl~±~1i:I: ~iii:fi(l980)Wftlt.r!(l981). 13i~fJll§t~.M*f.igtiJE~E, ffijffi~.(1986)fl1J1§MS.ittll§tm~I!JJlflJE~~. , ~W15fi(l994). .~*f.ig.;E~E,m~~Il§t • • ~*~m~.'~.~~E~Gm1'".m. ffiMS • •1l§t. 1I§ 'OO*~~(l995)~lJ~JF~RX~~ ~.ittll§t. W. W~F~~E~~. Zrifl~E~~fa~nlj~E~~. ii~Figm. .~*Z5tE·. mit1P:'tiJf~1l§t. .~*~m$~E~~'. *~ • • 5tEtiJf~m~~.7~~la±~. 1~.Wl~3~3~~nl!J_* • • ~¥1i:I~·nl!J • • ru~~1i:I~.*~.I!J~.~~B ~~1J[JOO~9J. I. .*~Erlln~H~i.!i~:iffi~t;.J·. Meese WRogoff. (I 983)'JUI ltfX. Frankel. Bilson ~7-1-itJm~(f1exible-price):W'M~ ~, Dornbusch-Frankel ~lIttm~(sticky-price):W'Mt~. M' !:JIHIfHc Dornbusch-Frankel~~OO~ltU~ftiI!R~~~ Hooper-MoI1ontl~ , W~.lf~ fj~~ff/.f:"Hout-of-sample)ffljil~FigjJ. • N6~~lJt~J(;W~~ ,. ttl~.~5l. !:J.&~~:tJllfi. 'B. ~J(;.*m.~-~+=.~~m.M~IMfllf~~~Wffilt.M.~M~.mm-ff~'. Im~~~~1P:'mRX~tiJf~.*~I!J~./.f:.M· (l987)~~ 1973~ 1980~~ • • j(fl. ,l~~Bf&m.71~~~~. BaillieW McMahon tJ~ ~iilfJ. ffl] •. $. ~ ~ ra~ ~ !1. ~ ~ •. fj~~JiZffljilU.* m&~*.a~Ri. tJ~~iilfJIl:!!t1ilL(F.Jfl1l:f~:rr·. ilLl"mtll.' ff!. Ji ~R'& ~ ~ m~Ij (Bayes'. m. I. I ~ tJ JIt ~ &" ¥-f. i3~~mW. b)~UflJffl~~.tti9U~~(variance-ratio. ~§~ • • *mB~ri~~~~~~'M. Burt,. rule)~ ~ I±l $1& fl *. ' ffij1&Mtt.1SfI••• MtI*"~Zffljil~.m. • LiuW He (1991a,. ~-.tiJf~_. FuhrerW Weiller (l99l)f1jffl:r: Meese WRogoff. test). ~JE~~~. Z. ~mm~7M~~~~~m·. mm_~~~~~~m."~*m.~WI!J~.~~*~~M.·. Kaen WBooth (1977). I. Rogalski WVinso. (l978)ii~~m 7. _*1i:I WIl§t~.JllifJ;J.~*. ~~*5tE~Mtt·~~Jltm&m~ff§~-¥-f~~~~~~m~~(F.JM~1'~ffij~~~E. .. /iX;~~:i ~1~Ri ~ ~fHi·. FIiedman WVandersteel -. (l982)~~~~.s ~ ~ m itfilJ~fl JEfEJ tiL IIl5tE. 149 .

(4) ". !i1JlLa:mjd~~f.lHg-t;+liM. ~ jijij f~ m1~!HI9 rft i3" 7tifE! !lj1F1:iE ~ ~ if.U~ 3jZ J$] ~ ~H' ~ Ihtr ~ ~ ra~ iliff [SJ !ljm~ 7tifE!. Rossell. Ben-Horim (1982)?IF. ifE!(iid) ,. w'~~3jZJ$]IU~t;. fjPJT05{~·. ~1lB3~5fZJ$]~W~~~\tGJ:~ 1991)j!~-*!lj~~. ~~*!lj. 0. Calderon. ~7t~mUjd·M!t;U6*:f~*!31i. Hsieh. (1988)tJ~. B. ~EI[SJtt-J5t. M~~!t7t~¥.i. .. ~l. , ffiHI~!J~Il!I*7t~~*!3 i11l~§[SJ!lj*~7t~. Hsieh (1989,. ARCH WGARCH ~t5-:iE!lj~Fm~7t~nEm":f:;!r~*tt-JIl!I*7t~~. ~.. ~~~*!lj~. &!tff~~M~*~~_.~~!ljm~.~·~ffi~!lj~~~.:f.~. 1f •• 'I'~JI!IDffij~ , !t~~1!lj:JJs:tCJtJI;7t~[YIl·. ~-Il~B3f$*1t!ljCJfff1t'Jiil!l1~(loanable. fund theory) te ~ ¥} ~ t5 .t .. ~ 1F1 IDl W.tl! II _ • *6 tf4 ms:t ~ ~ ffij te!lj ffj * (1969)' Echols & Elliot {1976)' Hoelscher (1986) . ~. Mehra. ~. tj ~ . Sargent. (l994)CJ~j~JJlm~!lj~~. s:ttt-J.E~CJ~.MW._.~ • • ~*fj~~·m~*!lj.*7t~~m~m. •. ml. 5Hf! !lj 1F1:iE • ~=.~*~~~m~~*.ff.~!ID!lj~¥.~*ff~!lj.~·1fM*m·~7.1 .M!lj:L}lmm~t*f'Fi&f;ffW~t511*iI&f;ff!lj'§ff"'1~*~~~~. 1994)W Angelini. (l994)ra~ ¥ ~iii ~jtflJ *!lj ff ~. W@]~3jZJ$]!ljlT~"~.6JHj.it*. •. , Mankiw, Miron.& Wei! (1987,. ~~ t:p *.l'1!lj~ll ffij ~flJ *. 1'1 ~ B3 ®1i. •. =Il~~~~.m~ttil~.£n~~~ • • • !lj~*~.m~·~m~ffig!ljMI. *~Hf4!11~iii. . ~[] Vasicek (1977)' Brennan.& Schwartz (1979)' Cox, lngersoll.& Ross (1985)'. WConstantinides (1992)·. ~~,. Chan, Karoyli, Longstaff,.& Sanders (1992) . WTse (1995). ~-~IIJ~t;&(GMM)m:m~:iE~.:f[SJ!ljflJ*~.m~· *6*~ll.fj~~*ffij. m~t:p!lj~. ~~ttfi.~.~**. ,~ • • • • ~. 'MtI. !lj.~ff~·. [y.ic~~m~tfJ ~ itnil!l1~~*.t-tflj*tfJ~.1'1~· ~a Evans & Martin (1992) • ~m .. ~ ~!lj *Mn~!I1.t-t.mM~*tfJ~.'*6*~~~ mM~~.t.**, •. .~flJ*W1i\II!P.6*tfJ~.~~ .~ § flJ*~iiJtfJ:m~~*'. Den-Hann. *1t.*Mn~!I1.·~AJi*·~.g.mMwa~.'~ll~-.~ *1T~.~. ~.. *B1. -. 150. (l995)~1j~.iE1. ._.ft.t:p~ft. _.. 1:. I. I..

(5) ". ,.. ~.Mti.~~§~.&~fiOOfia.~.~~z~.~~m~. ffi~~~~~~I~~M*.fim~~aW"* ••• ~~re~~~.~~.~·~. ~. (1993)1:)1' [qI ~ilJ ~it 1J7:t~ slt Iii ~ewrl: ~ ~ E.fl5'~ [1l*fi 1i:lJ if3J ilt:tJl~it~~mi: .. ijmtt-M.w~u.m_i:wr§~~~~~*. ~~~tt. Xfi71'-.~M.~m. !Ill ~ it ~ N:;~Ci1B fiUt ~ • ¥i -Ei' ie., lH!f ~f~ID!~ ~[1l*~ffl$Hi~1J I *5*~e1i:lJ~. a}31l'i (1992)W ~ • $ (1993) , ~ jUff I: ~ [1l * ff *fO(l995).tt~!Ill~it~f~~!L&J:lttfflW1~. IW~~~.~~~~i:W •• ID!fi~~~ffl.G1J·.wr.~ 'ID!~ffliUfj~1Jfx~·. ~[1l*ffi. :griI(1995)-t!!~~wr.i!iHl,~~~a*lmf*'. *5. 'M~it~ ::Xi§i:!Ill~it. 'ffiti:W:7 ARMA-ARCH ~f~M· ~jN1'Jra~tfifl{ m~~flj*!iilfd'&~fi &.J!/ •• $*m8 ~8.~~G'~~W* ~~~M~81i:lJM.~ffilm~~· ?f~m. *~ffi •• H~.mwr. ~~~~~M[1l*wm800tfifl{."*~~z~*~re·.~. 1 • • ~*~re~m~I~~~.~M~~*~~.ID!m!lll~.~.ID!W.ffi.i:~~.M' ~W§~~8~.~~ ••• ID!'UGA~H1i:lJR.~-.tt~·fi*'1'.ma*.m"~· a~B~u.~~mm!lll.. ~~.ID!.. ::X'~~N.~@~re~~MM*wm~~=.. MI*m m~ GARCH f~ID!. fm.tt~ffij~f!}¥U. ~re~fl~l!;l,}j. . ~~~:m.~fi-Il~re. ~~. .a*w"*.~*~~reMtt'~~~m~fi~~m~@a~.ID!~~fim~·. rm~. mm~ GARCHf~M~re-t!!sltqF. ~till5. , ftm GARCH.ID!&'ffi~/J\Ic.,n .M~~M ffl$Jfj~1J· ~f.Ii:~re:&.;:!t.ftf~ID!Z 13M - ~~~¥Ij1'ff~~*:a;J.tfiJ.WHJTm~ t) .m~ ~~~tt~m'~~M~** • • Hffij~1i:lJ •• zm~· ~*. ~'*~ ~~.M.~T:.E.m •• ~.~*~re.ID!:&.~GZ am_i:- ••1i:lJW. M.'mu.tt.~.~re~M~'ffi ••• ~1i:lJM.·.H~.. ffil. I &~~~~lzJ§~. -/Ilif!~~*~re.· ~~.'1. ~~HIH~MBij:. ••. ~.~re~Gm~a. :&."*.~~M~tt.·. ~ ,,*~t-~~ll~ (.)~~~~~.~mm~.*m~. -. 151 .

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