- 學位論文
三篇中央銀行干預行為之研究
Three Essays on the Intervention Behavior of Central Bank
摘要
本論文由三篇關於央行干預行為的文章所構成。第一篇文章採用Weymark (1997)與Baig et al. (2003)所提出的模型評估中央銀行的干預行為，並以事後的干預新聞確認模型的估計結果。由實證結果顯示Baig et al. 的模型在評估干預行為的績效不如Weymark所建立的模型。其次，本文發現干預指數的估計值並不全然適用於偵測干預行為的指標。再者，無論是干預指數或干預新聞均顯示在景氣擴張時期，央行干預的頻率相對高於景氣衰退期。此外，當國家面臨重大的事件時，央行干預的活動呈現群聚的現象。 第二篇文章旨在為中國的匯率政策與干預行為提供新的觀點。本文以修正後的Weymark (1997) 開放經濟模型估計中國主要的雙邊干預指數。透過分析干預指數的變化，瞭解中國在採取釘住通貨籃制度時期的干預行為。實證結果顯示，中國確實有放寬人民幣對其四個主要雙邊匯率的波動程度。整體而言，中國依然採取積極干預外匯市場的政策，其中又以美元與日圓為最主要的干預貨幣。此外，中國干預匯率的目的會隨著國家別而異：在美元與日圓的例子，其目的在縮小人民幣對該貨幣匯率的波動；在新臺幣與歐元的例子，干預的目的則在擴大雙邊匯率的波動或是逆轉匯率變動的方向。 第三篇文章結合Weymark (1997) 提出的開放經濟模型與本文修改的貿易模型，評估中國的干預行為在其主要雙邊貿易餘額所扮演的角色。本文認為央行干預對貿易的影響包括直接效果與間接效果。實證結果顯示，干預匯率的確能增進中國對日本與美國的貿易利益；然而對於台幣與歐元的干預，反而使貿易餘額惡化，可能的原因為中國對歐盟國家存在J曲線效應與負向的相互影響。因此，人民幣對歐元的匯率並不適合進行干預。
並列摘要
This dissertation consists of three essays on the intervention behavior of central bank in foreign exchange market. The first essay employs the Weymark (1997) and Baig et al. (2003) models to evaluate central bank’s intervention behavior and utilizes ex post intervention news to check models’ estimation results. Empirical results show that the evaluation performance of intervention behavior in the Baig et al. model is inferior to the Weymark model. The magnitude of intervention index is not an excellent indicator to detect intervention behavior. Moreover, intervention indices and intervention news all support that the intervention frequency in expansion period is higher than in recession period, and in face of fatal events the intervention actions exhibit cluster phenomenon. The second essay provides a new insight at the long-standing question of the China’s exchange rate policy and intervention action. We employs four bilateral intervention indices, derived from a modified Weymark (1997) open economy model, to investigate China’s intervention behaviors in the period of pegging currency basket system. The empirical result shows that China had really widened the volatility ranges of the four renminbi exchange rates, and had mainly pegged against the US dollar and Japanese yen. However, the intervention actions are still severe, and have different motives. For the renminbi yuan against US dollar or Japanese yen, the motive of intervention is to reduce their volatilities. However, for the renminbi yuan against Euroyen or New Taiwan dollar, the aim of intervention is either to reverse the direction of exchange rate, or to amplify the volatile magnitude of exchange rate. The third essay employs the intervention indices, measured from the Weymark (1997) model, and the modified trade models, to evaluate the role of China’s intervention behavior on trade balances with her four major trade partners. The intervention effects comprise direct and interactive phases. Intervention actually creates the largest trade advantage in the China-Japan trade; the China-U.S. case, the next. However, the trade balance is worsened in the China-European Unit case and the China-Taiwan case. Considering the J-curve effect and negative interactive effect in the China-European Unit case, the exchange rate of renminbi against Euro is not an appropriate intervention object.
參考文獻
延伸閱讀
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