我國央行高度干預外匯市場？－多邊貿易行為的考量－

Central Bank's High Intervention in Foreign Exchange Market? The consideration of multi-trade Behavior

吳傳欽(Po-Chin Wu) ； 蕭玉明(Yu-Ming Hsiao)

《中原學報》 32卷4期 (2004/12) Pp. 477-490

https://doi.org/10.6358/JCYU.200412.0477

摘要

本文利用小型開放總體模型，在考量台灣對美國等八個主要貿易國的貿易量、物價、利率及匯率等因素下，分別建立我國央行雙邊及多邊干預匯市（直接干預、沖銷干預及間接干預）的「量化」指標。實證上應用3SLS方法對1990年1月至2001年12月的聯立模型進行估計，並以1997年7月亞洲金融風暴為基準，區分為二個子樣本期間，分析亞洲金融風暴前後期間，央行干預匯市態度之差異性。實證結果發現，雙邊干預指標支持央行對外匯市場進行高度干預（平均直接、沖銷與間接干預程度均為大於0.7）, 而多邊干預程度卻遠低於雙邊干預，顯示央行穩定匯率政策的重心在於新台幣兌美元的匯率上，且考量我國與多國的貿易情況時，央行對外匯市場並未存在高度干預行為。此外，亞洲金融風暴發前後，央行的雙邊干預程度差異大；多邊干預程度則否。

關鍵字

外匯市場壓力 ； 雙（多）邊干預指標 ； 直（間）接干預 ； 三階段最小平方法

並列摘要

Based on a small open macroeconomic model, this paper considers the factors that influencing Taiwan's trade to establish the quantitative index for measuring Central Bank's bilateral and multilateral intervention behavior. We adopt 3SLS method to estimate the simultaneous equation system. Quarterly data is selected from January 1990 to December 2001. To judge the differential effect of Central Bank intervention, we split the sample period into two sub-periods according to Asia currency crises in July 1997. The empirical results show that the degree of multilateral intervention is lower than that of bilateral intervention and the average degrees of bilateral interventions are all larger than 0.7. This implies that by considering multilateral trade the Central Bank in Taiwan did not have high-intervention in exchange market and pays more attention to stabilize the exchange rate of N.T. dollars for U.S. dollars. In the case of multilateral intervention, the direct intervention index and the indirect intervention index after Asia currency crises period are both larger than those before Asia currency crises period.

並列關鍵字

Exchange Market Pressure ； Bilateral (Multilateral) Intervention Index ； (In) direct Intervention ； 3SLS