央行干預對匯率波動的影響

The impact of central bank’s intervention on exchange rate volatility.

張惠喬(Hui-Chiao Chang)

指導教授 ： 吳博欽

中原大學/商學院/國際經營與貿易研究所/碩士(2013年)

https://doi.org/10.6840/cycu201300394

摘要

摘要
本研究採用修正的Weymark (1997) 模型與匯率波動模型，評估我國央行干預外匯市場行為對新台幣兌人民幣與新台幣兌美元波動的影響。本文首先應用一般動差法 (generalized method of moments, GMM) 估計外匯市場壓力 (exchange market pressure, EMP) 與干預指數 (intervention index)。接著將所估計的干預指數加入傳統的匯率波動模型，以建構修正的匯率波動模型，並評估干預指數對匯率波動的衝擊效果。實證上以新台幣兌人民幣與新台幣兌美元對象，實證期間為2004年1月至2011年12月。
實證結果顯示，在新台幣兌人民幣匯率的雙邊干預情況下，前一期的匯率波動、恐慌指數 (volatility index, VIX) 與干預指數對匯率波動有顯著性的影響。此外，在新台幣兌美元匯率的雙邊干預情況下，貿易開放程度與干預指數顯著地影響新台幣兌美元的匯率波動。綜合言之，央行干預行為對匯率波動所產生影響，會視不同的匯率而產生不同的效果。此外，匯率波動的持續性效果是緩和的，顯示台灣央行有必要在外匯市場進行干預。

關鍵字

一般動差法 ； 干預指數 ； 匯率波動 ； 外匯市場壓力 ； 開放經濟模型

並列摘要

Abstract
This thesis employs the intervention indices measured from the modified Weymark (1997) model and the modified exchange rate volatility model to evaluate the impact of the intervention behavior of Taiwan’s central bank on the volatilities of two exchange rates: TWD/RMB and TWD/USD. We apply the generalized method of moments (GMM) to measure exchange market pressure and intervention index. In constructing a modified exchange rate volatility model, we add the intervention indices measured from the modifies Weymark’s model. To perform the empirical study, we choose TWD/RMB and TWD/USD rates as sample subjects. The sample period spans from January 2004 to December 2011.
Empirical results show that the one-period lagged exchange rate volatility, VIX index, and intervention index significantly influence on exchange rate volatility in the Taiwan-China bilateral trade. In the case of Taiwan-US bilateral trade, trade openness and intervention index significantly affect TWD/USD rate volatility. In summary, the effects of intervention actions on exchange rate volatility are diverse and change case-by-case. In addition, the persistence effect of exchange rate volatility is moderate, revealing that the intervention of Taiwan’s central bank is required.

並列關鍵字

Exchange rate volatility ； Intervention index ； Open economy model ； Generalized method of moments ； Exchange market pressure

參考文獻

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