
系統識別號 
U00262006201621551500 
論文名稱(中文) 
聯邦基金目標利率宣告如何影響匯率以美元與歐元為例 
論文名稱(英文) 
How the Federal funds target rate announcement affects the foreign exchange rate? The case of US dollar and Euro 
校院名稱 
成功大學 
系所名稱(中) 
財務金融研究所 
系所名稱(英) 
Graduate Institute of Finance 
學年度 
104 
學期 
2 
出版年 
105 
研究生(中文) 
張飴庭 
研究生(英文) 
YiTing Chang 
學號 
R86034032 
學位類別 
碩士 
語文別 
英文 
論文頁數 
44頁 
口試委員 
指導教授王澤世 口試委員劉裕宏 口試委員顏盟峯

中文關鍵字 
利率期間結構
CIR模型
未拋補利率平價
預測解釋力

英文關鍵字 
Interest rates term structure
CIR model
Uncovered interest rate parity (UIRP)
Predictive power

學科別分類 

中文摘要 
近日，景氣漸漸復甦，是否調升聯邦基金目標利率成為注目的議題。調整聯邦基金目標利率，不僅會影響美國短期利率，也會影響整體經濟。當聯邦基金目標利率上升或下降，匯率(美元/歐元)會如何變化? 此外我們結合(隨機運動)利率期限結構 – 單因子CoxIngersollRoss (CIR)模型，與利率平價理論來進行我們的研究。設定聯邦基金目標利率改變時為事件日，利用前六天的市場資訊，帶入CIR模型，求出參數，來預估美國及歐洲的個別短期利率。接下來使用利率平價理論，將預測的利率轉換成匯率(美元/歐元)。樣本期間為06/21/2006~04/08/2016，最後我們評估模型的預測能力，選擇最好的預測模型。此研究發現當美國宣告聯邦基金利率為上升或下降，歐洲也會跟著調整利率，但個別利率調整的幅度不同，造成匯率並不會有一致的方向，另外使用CIR模型確實比只使用簡單的IRP模型預測力還要好，且在CIR模型短期利率使用聯邦基金目標利率預測力較使用實際利率準確。

英文摘要 
Recently, the issue as to whether federal funds target rates will rise or remain stable has become popular. Changes in the federal funds target rate will not only influence the short rate in the market, but will also affect overall economic conditions. How exchange rates in the U.S. and Europe will change when the federal funds target rate fluctuates is a very interesting topic. Moreover, we combine the stochastic movement of term structure  one factor CoxIngersollRoss (CIR) model with interest rate parity to conduct our research. We set the federal funds target rates announcement as the basis date, use ex ante six business day information and strips (Separate Trading of Registered Interest and Principal of Securities) to calibrate the CIR parameters, and estimate the U.S. and Euro ex post interest rates. We then use the interest rate parity to transfer the estimated interest rates into exchange rates. The sample data is from June 21, 2006 to April 8, 2016. Furthermore, we measure the model of predictive power, compare it with alternative models, and choose the best prediction model. In our results, we find that exchange rates don’t have same direction when the federal funds target rate changes, which might cause interest rates for the euro area to change after the interest rate in the U.S. changes. Furthermore, the CIR model is better than using only the IRP model and federal funds target rate as the instantaneous rate in the CIR model because it is more precise.

論文目次 
摘要 I
ABSTRACT II
誌謝 III
LIST OF TABLE IV
LIST OF FIGURE VI
I. INTRODUCTION 1
II. LITERATURE REVIEW 3
2.1 THE TERM STRUCTURE OF THE INTEREST RATES MODEL 3
2.2 UNCOVERED INTEREST RATE PARITY 5
III. METHODOLOGY 8
3.1 THE ONEFACTOR COXINGERSOLLROSS MODEL 8
3.1.1 CALIBRATION AND ESTIMATION OF THE PARAMETERS OF THE COXINGERSOLLROSS MODEL 10
3.1.2 PREDICTED U.S./EURO EXCHANGE RATE USING THE CIR MODEL 13
3.2 EVALUATING THE PREDICTIVE POWER AMONG MODELS 14
IV. DATA 17
4.1 DATA STATISTICAL SUMMARY 17
4.2 UNIT ROOT TEST 20
V. EMPIRICAL RESULTS 22
5.1 THE PARAMETERS OF THE CIR MODEL 22
5.2 THE ESTIMATED EXCHANGE RATES BY THE CIR MODELS 27
5.3 PREDICTIVE POWER OF THE MODELS 33
VI. CONCLUSIONS 38
VII. REFERENCES 40

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