中央銀行干預政策對外匯市場干預指標的影響

The Impact of Different Exchange Market Intervention Policy on Exchange market Intervention Index

趙尊彬(Tsun-Pin Chao)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2002年)

https://doi.org/10.6840/cycu200200188

摘要

論文摘要
自1973年固定匯率制度崩潰後，管理浮動匯率制度廣為世界各國採用。許多探討最適匯率政策的結構模型都以完全浮動匯率制度為前提，已經無法完全解釋現今許多國家匯率的變動。因此，本文利用小型開放經濟模型及理性預期建立外匯市場壓力及央行干預 ( 包括直接干預、沖銷干預及間接干預 ) 的「量化」指標，以有別於多數探討中央銀行干預行為的文獻，集中在各項總體經濟變數對央行干預政策的影響之研究上。以外匯市場供給與需求的變化，透過價量的調整來解釋匯率的變動，並加入風險溢酬的觀念詮釋管理浮動匯率制度下的沖銷行為。實證以小型開放經濟體系的臺灣為對象，利用二階段最小平方法求解小型開放體系財貨與貨幣市場聯立方程式，並對1990年至2001年間的資料進行央行干預行為分析。
實證結果顯示，近十二年來平均直接干預指數為0.7096，平均沖銷干預指數為0.6379，顯示我國央行明顯進行外匯市場干預，以排除71%外匯市場壓力的直接干預方式，讓匯率價位緩慢朝向長期均衡值收斂。此外，本文並針對匯率波動較大的1996至2001年期間五次影響外匯市場的重大事件進行分析，也發現我國央行在台海飛彈危機、亞洲金融風暴、兩國論與核四停建等事件都採取逆風而立的高度干預政策，並視事件的嚴重性與持續期間長短採取不同的干預政策，實證結果也證實亞洲金融風暴期間的干預程度最大。

關鍵字

兩階段最小平方法 ； 央行干預指數 ； 外匯市場壓力指數 ； 小型開放總體模型

並列摘要

Abstract
After the breakdown of the Bretton Woods system in 1973, the intermediate exchange rate system was widely adopted. Lots of literatures talking about the structure of optimal exchange rate policy assume that the exchange rate system is freely floating. Today, however, it can’t completely explain these movements of foreign exchange rates in many countries. Thus, we use a model of a small open economy with rational expectations to create an intervention index and the exchange market pressure to the contrary of the previous studies focusing on the effects of macroeconomic news on the central bank intervention. With the adjustments of the price and the volume, we can tell the variations of the foreign exchange rates. In addition, we can make use of the changes between the demand and the supply in the foreign exchange market to illustrate the movements of the foreign exchange rates. Further, we add in an exogenous risk-premium variable to clarify the sterilization operations under the managed floating system. We employ two- stage least square estimation to find the equilibrium solution between the goods market and the money market. The data period that we use to analyze the central bank intervention is from 1990 to 2001.
The empirical result shows that the average value of the last twelve years’ direct intervention index is 0.7096 and the sterilization index is 0.6379. It indicates that the central bank intervenes the foreign exchange market directly to offset the exchange market pressure and makes the foreign exchange rate converging into equilibrium in the long run. We examine five events from 1996 to 2001 such as the army crises in the Taiwan Street, the Asia currency crises, the crises of terminating the construction of the nuclear energy plant. It proves that the magnitude of the intervention in Asia currency crises is the largest. We also find that the strategy that central bank takes to cope with the variations of the foreign exchange rates is leaning against the wind. In addition, the measures that the central bank takes depend on the period of sustaining and the significance of the event.

並列關鍵字

intervention index ； Exchange market pressure ； 2SLS

參考文獻

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