西元2020年初，全球因受到COVID-19 (下稱新冠) 疫情的影響，陸續實施鎖國、封城等限制，導致各國經濟嚴重受創，全球經濟不確定性急遽上升，也使得外匯市場劇烈波動。外匯市場中，不僅美元兌新台幣突破27元大關，歐元兌美元匯率也出現近20年來罕見的1:1情況，英鎊匯率也下跌至近乎與美元持平水準。過去學術上不乏對總體經濟不確定性之研究，卻鮮少單獨探討外匯市場不確定性之研究。因此，本研究基於未拋補利率平價理論 (Uncovered Interest Rate Parity，UIRP) 的基礎上，透過迴歸分析 (Regression Analysis)、滾動迴歸 (Rolling Regression)、虛擬變數 (Dummy Variable) 等方法，探討未拋補利率平價等式在不同條件下的係數變化、顯著程度，並將殘差值結合機率密度函數 (Probability Density Function，PDF)概念，繪製樣本期間各貨幣對的外匯不確定性。首先觀察金融海嘯後十三年 (2010年至2022年)以及新冠疫情爆發後近三年 (2020年至2022年)，美元兌新台幣 (USD/TWD)、歐元兌美元 (EUR/USD)、英鎊兌美元 (GBP/USD) 三種貨幣對未拋補利率平價等式的係數變化及顯著程度，再將新冠疫情期間依據央行貨幣政策方向以及外匯不確定性高低分別拆解為零利率下限 (Zero Lower Bound，ZLB) 時期、強勢升息時期以及高度不確定時期、低度不確定時期兩組進行探討。本研究實證結果顯示，新冠疫情期間的美元兌新台幣、歐元兌美元兩貨幣對間利率差可以解釋兩國匯率變動量，並且解釋能力顯著；新冠疫情期間零利率及強勢升息期間的各樣本貨幣對間利率差對匯率變動量的解釋能力不佳；新冠疫情期間低不確定性時期中，美元兌新台幣以及歐元兌美元的解釋能力顯著，由此歸納，在新冠疫情期間的低不確定性時期中，美元兌新台幣以及歐元兌美元，兩貨幣對之間的利率差可以解釋匯率升貼水變動量，並且解釋能力顯著。

Since the beginning of 2020, many countries across the world were put on lockdown in combat with the coronavirus outbreak. These countries suffered a historical economic slump, while global economic uncertainty rapidly arose, and the foreign exchange market remains choppy. In the foreign exchange market, the NT dollar hit a high of NT$27 against the US dollar. Rarely enough, the US dollar and the Euro were equal for the first time in 20 years. Moreover, the pound was expected to reach parity with the US dollar during the pandemic. While many methodologies and strategies for constructing macroeconomic uncertainty indices are available, discussing foreign exchange uncertainty is unusual. Therefore, this paper is based on Uncovered Interest Rate Parity (UIRP) and utilizes Regression Analysis, Rolling Regression, Dummy Variable, etc., to investigate how the coefficient of UIRP changes and whether it is statistically significant under different conditions. Additionally, we combine the concept of Probability Density Function (PDF) and the residual of the UIRP regression to illustrate the foreign exchange uncertainty between three currency pairs during the sample period. First, we will divide the sample period into two sub-samples - one being the period from the end of the financial crisis until now (2010-2022), the other being the duration since the COVID-19 outbreak until now (2020-2022). We will examine how the coefficient of UIRP changes and whether it is statistically significant between the USD/TWD, EUR/USD, and GBP/USD currency pairs. Furthermore, we aim to delve deeper into the effect of COVID-19. Therefore, based on monetary policy and the level of foreign exchange uncertainty, we differentiate between the Zero Lower Bound (ZLB), periods of strong lift rates, high exchange uncertainty, and low exchange uncertainty. The outcomes of this paper show that USD/TWD and EUR/USD are statistically significant during COVID-19 pandemic, non-statistically significant during the Zero Lower Bound and strong lift rates period of COVID-19, and statistically significant during the low exchange uncertainty period of COVID-19. Our empirical results are highly suggestive, indicating that the difference in interest rates between USD/TWD and EUR/USD can explain the relative change in currency foreign exchange rates when the exchange uncertainty is low during the COVID-19 pandemic.

1.前言 1
2.理論模型與研究方法 5
2.1利率平價理論 5
2.2外匯不確定性指數 8
2.3建構外匯不確定性迴歸方程式 9
3.資料與實證結果 10
3.1資料 10
3.2金融海嘯後13年與新冠疫情期間近3年，外匯不確定性表現 13
3.3新冠疫情期間，央行升降息與未拋補利率平價迴歸方程式、外匯不確定性再探討 21
3.3.1零利率下限時點及強勢升息時點，未拋補利率平價等式係數變化 22
3.3.2滾動迴歸係數與央行調整利率時點關聯性 24
3.3.3外匯不確定性與央行調整利率時點關聯性 25
3.4新冠疫情期間，外匯高、低度不確定性時點未拋補利率平價等式的表現 29
4.結論 30
參考文獻 34

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