央行執行匯率政策反應函數之研究

本文探討台灣央行在外匯市場上調整新台幣匯率時，是依據哪些資訊，來決定在修正新台幣的走勢時，應當往哪個方向。以及是根據哪些總體面的經濟變數及指標，以形成新台幣匯率之目標區間。我們認為，若取樣期間可以包含所選取之央行總裁完整的在位時間，所得出之結論將更為公允。因此我們回顧並分析在過往幾任央行總裁的任職期間內，哪些經濟變數和指標會顯著地影響央行在外匯市場上調整新台幣匯率的政策，以及此政策方針是否隨著不同的總裁在位而有明顯的改變。實證結果發現，在全樣本期間（1989年5月－2018年2月），央行在外匯市場調整新台幣匯率時，並未顯著地參考所選取之總體經濟變數；但匯率的變動反映了央行干預行為、出口、國內利率及美國聯邦基金利率等因素之影響。在1998年3月－2018年2月這段期間，央行調節新台幣匯率時會將匯率、實質有效匯率、出口物價指數與國內利率納入考量；但因為匯率受到央行干預的緣故，抵消了各個總體經濟變數對匯率的影響。1989年6月－1994年5月的期間，由於台灣當時處於經濟快速發展後期的泡沫經濟與資金過剩的全盛時期，加上正值推動金融自由化，以及貿易持續出超帶來的新台幣升值壓力等情況下，因此央行調節匯率的依據並非完全是總體經濟變數，而在「逐步微調」策略下，匯率也無法反映其他總體經濟變數之波動。

關鍵字

新台幣匯率；反應函數；央行干預；外匯市場干預；中央銀行；匯率制度；匯率政策

並列摘要

In this paper, we examine which macroeconomic variables would Central Bank of Republic of China (henceforth: Taiwan Central Bank, TCB) take into consideration when it intervenes TWD exchange rate in the foreign exchange market. In addition, we investigate what kind of economic factors and information are essential and salient for TCB as reference while forming exchange rate policies. Moreover, whether these policies varied with different TCB governors is also included in the study. The empirical results show that, during the time from May, 1989 to February, 2018, the trend of TWD exchange rate reflected the behavior of TCB intervention, export, domestic interest rate and federal funds rate. However, we find no evidence that TCB would take macroeconomic variables into account when tuning TWD exchange rate. From March, 1998 to February, 2018, TCB intervened in the foreign exchange market according to the information provided by TWD exchange rate, real effective exchange rate, export price index and domestic interest rate. On the other hand, most of the influence derived from economic situation alteration was neutralized by TCB intervention. During the period of June, 1989 to May, 1994, economic bubbles emerged and there was surplus on the financial market after the fast economic growth. In company with the pressure of TWD appreciation owing to continuous trade surplus with the U.S.. TCB adopted the policy that adjusted TWD exchange rate “gradually and moderately”, and the intervention did not significantly depend on the fluctuation of macroeconomic fundamentals.