小型開放經濟下央行的匯市干預與管理浮動匯率制度

The Measures of Exchange Market Intervention and Managed Floating Exchange Rate System in a Small Open Economy

吳博欽(Po-Chin Wu) ； 潘聖潔(Sheng-Chieh Pan)

《中原學報》 31卷4期 (2003/12) Pp. 283-292

https://doi.org/10.6358/JCYU.200312.0003

摘要

本文利用小型開放經濟模型建立我國央行外匯市場干預（直接干預、沖銷干預及間接干預）的「量化」指標，並探討其採行管理浮動匯率制度的內涵。實證上應用三階段最小平方法進行估計，並以1990年至2002年間的月資料進行分析。結果顯示近十三年來央行的平均直接干預指數為0.7106，平均沖銷干預指數為0.6585，說明央行明顯進行外匯市場干預，讓匯價緩慢朝向其長期均衡值收斂。在1996至2002年期間，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，其中以亞洲金融風暴期間的干預程度最大。

關鍵字

外匯市場壓力 ； 直（間）接與沖銷干預係數 ； 三階段最小平方法

並列摘要

This paper adopts a small open macroeconomic model with rational expectation to measure Central Bank's various intervention indices and discuss the implication of Taiwan's managed floating exchange rate system. In empirical study, we employ three-stage least square approach to estimate the simultaneous equations system and derive three kinds of intervention indices. Sample period ranges from 1990.01 to 2002.12. The empirical results show that average direct intervention index is 0.7106 and sterilized intervention index is 0.6585 for last thirteen years. It is apparent that Taiwan's Central Bank intervenes foreign exchange market to make the foreign exchange rate converge to its long-run equilibrium slowly. In recent five important events influencing exchange rate apparently, the degree of intervention in Asia currency crises is the largest. In addition, the intervention policy adopted by Central Bank depends on the duration and seriousness of event.

並列關鍵字

exchange market pressure ； (in) direct intervention index ； sterilized intervention index ； 3SLS