土耳其央行干預有效性之分析

本文利用非線性異質交易者模型，分析異質交易行為是否存在於美元兌里拉外匯市場，以及土耳其中央銀行是否可以經由影響市場參與者行為，並透過Hung (1997) 噪音交易管道以及 Reitz and Taylor (2008) 整合管道，達到其干預外匯市場的目標。實證結果顯示，雖然基本分析者參與市場的意願和信心程度會隨實際匯率偏離均衡水準的程度擴大而下降，但透過央行干預的作用，可以提高基本分析者參與市場的意願，且此意願會隨著干預強度提高而上升，達到央行扭轉匯率走勢以及干預之目標。至於反向操作者參與市場的意願，也會隨實際匯率變化程度擴大而上升，同時透過央行干預也會加強反向操作者參與市場的意願。整體而言，統計分析指出異質交易行為者存在於新興國家土耳其的外匯市場，且央行可以透過噪音交易管道和整合管道來達到干預之目的。

關鍵字

異質行為交易者；央行干預；外匯市場；噪音交易管道；整合管道

並列摘要

A nonlinear heterogeneous agent model is applied to the lira/dollar exchange rate market to discuss the channels of an effective central bank intervention. The existence of two hypothetical channels proposed by Hung (1997) and Reitz and Taylor (2008) are tested and confirmed. Evidence shows heterogeneous agents are active in the lira/dollar market where the stabilizing force from the fundamentalists declines in large misalignments. Central bank can achieve the aim of the intervention through the noise trading channel and coordination channel. Central bank intervention is effective in arousing the trend-reversing sentiment among chartists to prevent market from explosion. The intervention is also effective in strengthening fundamentalists’ confidence that the market will move toward its theoretical equilibrium.

並列關鍵字

Heterogeneous agents ； Central bank intervention ； Foreign exchange market ； Noise trading channel ； Coordination channel

參考文獻

趙尊彬 (2002)，「中央銀行干預政策對外匯市場干預指標的影響」，中原大學國際貿易學系碩士論文。

錡淑美 (2005)，「匯價波動外溢效果與央行匯市干預之分析」，淡江大學經濟學系研究所碩士論文。

Balazs Egert and Maroje Lang (2005), “Foreign Exchange Interventions in Croatia and Turkey: Should We Give a Damn?,” William Davidson Institute Working Paper, No. 755.

Beine M., Benassy-Quere A. , and Lecourt C. (2002), “Central bank intervention and foreign exchange rate: new evidence from FIGARCH extimations,” Journal of International Money and Finance, vol.21, Issue 1, 115-144.

DeBondt, W. and Thaler, R. (1985), “Does the stock market overreact?, ” The Journal of Finance, 40, 793-805.

國際替代計量

土耳其央行干預有效性之分析

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