我國中央銀行外匯干預之訊息散佈效果

本文嘗試以外匯存底之變動作為外匯干預之代替數額，利用Granger因果關係模型，檢定我國中央銀行外匯干預是否會成為散佈貨幣政策改變訊息及是否會影響匯率之預期，以驗證其訊息散佈效果。實證結果指出：外匯干預會影響預期匯率，即由於外匯干預引起之外匯存底變動，將影響投資大眾對匯率之預期，並進一步影響即期匯率。就貨幣政策改變之訊息散佈效果而言，外匯干預會影響貨幣供給額及貨幣政策基數之改變，但與金融業拆款利率卻無顯著之因果關係。

關鍵字

外匯干預；外匯存底；中央銀行；訊息散佈效果； Granger因果關係

並列摘要

The change in foreign reserves is a proxy for the actual amounts of intervention to test the signaling effect of foreign exchange intervention. We try to examine whether intervention signals a change in monetary policy and the impact of intervention on exchange-rate expectation. Granger-causality test is used to perform these two sets of empirical tests. Our results indicate that intervention affects exchange-rate expectation. Through its effect on the expected future exchange rate, foreign exchange intervention affects the current spot exchange rate. With regard to whether market participants view intervention as a signal of future changes in monetary policy, we find evidence that foreign exchange intervention affects the changes of money supply and monetary base Nevertheless, the relation between intervention and the interest rate of interbank call loans is insignificant.

並列關鍵字

foreign exchange intervention ； foreign reserve ； central bank ； signaling effect ； Granger-causality

參考文獻

Akaike, H.(1969).Fitting Autoregressive Models for Prediction.Annals of the Institute of Statistical Mathematics.22

Google Scholar

Dominguez, K. M., Frankel, J.(1992).Does Foreign Exchange Intervention Matter? Disentangling the Portfolio and Expectations Effect for the Market.Berkeley:University of California.