當金融危機引發一國匯率出現急速貶值時,若該國央行根據利率平價假說對外匯進行干預,在假設其他條件不變下,政府採取調升本國利率水準時,而較高的利率水準將會吸引更多的外資流入,在外匯需求不變下,增加外匯的供給有助於舒緩本國貨幣的貶值,換句話說,當無拋補利率平價假說成立時,本國利率與即期匯率的關係應是呈現負向的相關性。本文使用VC-GARCH來探討1988年到2006年的台灣利率與即期匯率的相關性時,發現台灣的利率與即期匯率之相關性並非呈現一致的負向關係,而利率與即期匯率所呈現正向的相關性是否為Basurto與Ghosh(2000)所提出的Perverse effect。而在Perverse effect成立時,政府不但無法採取有效的利率政策來舒緩匯率的貶值,甚至較高的利率會導致公司營運成本的提升,使公司破產的機會上升造成較高的國家風險溢酬,這反而會誘發外資的撤離,造成外匯供給減少,進而使匯率貶值的更嚴重。
When financial crises cause dramatic decline in the value of the currency, the Monetary Authorities usually exploit the Uncovered Interest Parity, i.e. the positive correlation between the domestic interest rate and the change of exchange rate, to defend their currencies. But the relationship between interest rate and the change of exchange rate are negatively correlated as pointed out by the ‘preserve effect’ (Basurto and Ghosh, 2003). If the policymakers are obsessed with the Uncovered Interest Parity, the domestic currency may not appreciate as theory suggests, given the existence of preserve effect. Using VC GARCH model to analyze the interest-exchange relationship of Taiwan during 1988-2006, we explained why cause five episodes anomaly between interest rate and the change of exchange rate.