本文將探討日本銀行(BOJ)對外匯市場的干預行為。央行為了維持匯率的穩定，常以買賣外匯的方式進行干預。但究竟是哪些因素是影響央行的外匯干預行為？過去有以OLS、Probit、Ordered Probit或Tobit模型進行估計，但在此議題上都各自有其缺點，Chen et al.(2008)率先採用Tobit-GARCH(1,1)分析日本資料，以改善上述估計模型的缺點，而Hutchison(1984)認為BOJ對於外匯市場的干預似乎有不對稱的現象。因此，本文主要以Chen et al.(2008)及Hutchison(1984)概念為主軸，先利用具不對稱波動特性之OLS-EGARCH及OLS-TGARCH模型分析BOJ買賣匯干預的行為，再納入極多數干預觀察值為零的特性，採用Tobit- EGARCH及Tobit- TGARCH模型進行分析賣匯干預研究。

本研究發現在OLS-EGARCH及OLS-TGARCH模型下，BOJ並非總是採取逆勢干預政策；美國是否同步干預並不影響BOJ的干預決定；利率差和日經指數為影響買賣匯干預的顯著變數；是否為一星期的第一個營運日只會影響BOJ決定買匯干預；此兩種模型皆顯示干預資料具有波動不對稱現象。考慮干預資料具截斷特性後，發現BOJ並非總是以逆勢干預做為操作手段；美國是否同步干預會影響BOJ的賣匯干預量；利率差及日經指數皆不影響賣匯干預；在嚴格顯著水準下，是否為一星期的第一個營運日不顯著；而此兩種模型也皆顯示干預資料具有波動具不對稱特性。模型Tobit-TGARCH似乎優於Tobit-EGARCH，唯Tobit-TGARCH的估計結果大多為不顯著，因此較無法以強而有力的證據說明影響賣匯干預的變數為何。

中文摘要.........................I
英文摘要.........................II
誌謝.............................III
目錄.............................IV
表目錄與圖目錄...................V
第壹章 緒論......................1
第一節 研究動機與目的............1
第二節 研究範圍..................3
第三節 研究架構..................4
第貳章 文獻回顧..................7
第一節 匯率目標區................7
第二節 中央銀行干預外匯市場......8
第參章 研究方法..................18
第肆章 實證結果與分析............28
第一節 資料來源與變數說明........28
第二節 敘述統計分析..............33
第三節 實證結果與分析............35
第伍章 結論與建議................55
第一節 結論......................55
第二節 限制與建議................56
參考文獻.........................58
一、中文部分.....................58
二、英文部分.....................59

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