匯價波動外溢效果與央行匯市干預之分析

Spillover Effects of Exchange Rates Volatility and Central Bank Intervention

錡淑美(Shu-Mei Chi)

指導教授 ： 萬哲鈺

淡江大學/商學院/經濟學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00459

摘要

本文主要在探究匯價波動間的連動性與央行干預對匯價波動的影響效果。以1991年∼2004年為研究期間，運用多變量GARCH（1,1）模型進行分析，研究結果顯示，新台幣與日圓匯價波動間的連動性效果存在，日本央行干預會增加匯價波動，並產生匯價波動的外溢效果，於不同期間對匯價波動的影響亦不同。

金融風暴事件前，日本央行的聯合干預操作，會顯著增加日圓匯價波動，其它期間，獨自的日本央行干預對日圓匯價波動無影響。不管日本央行於日本匯市是採聯合干預抑或是獨自干預，透過訊號管道的傳遞過程，除擴大新台幣與日圓兩匯價共變異性外，並顯著提高新台幣匯價波動。

就全期間而言，日本央行於日本匯市進行干預時，對日圓匯價波動無顯著影響，但日本央行干預，透過新台幣與日圓之共變異關係，連帶使得新台幣匯價波動加劇。

關鍵字

中央銀行干預 ； 匯價波動 ； 外溢效果 ； 多變量GARCH

並列摘要

In this paper, we investigate the foreign exchange intervention effects of Bank of Japan on the volatility and covariance of NT dollar and Japanese Yen during 1991 and March 2004. By using multivariate GARCH model and daily foreign exchange intervention data of Bank of Japan, we estimate the effects of central bank intervention on both the variances and covariance between NT dollar and Japanese Yen. Our results show that Japan central bank intervention not only increase the volatility of exchange rates but also significantly increase the covariance between NT dollar and Japanese Yen.

並列關鍵字

central bank intervention ； exchange rates volatility ； spillover effects ； multivariate GARCH

參考文獻

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