建構台灣的外匯市場干預資料

Estimating Taiwan's Forex Intervention Data

李秀雲(Hsiu-Yun Lee)

《經濟論文叢刊》 49卷1期 (2021/03) Pp. 131-166

https://doi.org/10.6277/TER.202103_49(1).0004

摘要

本文分解我國外匯存底的變動成干預、外匯孳息與資產價值重估三部份，得到1982-2015年間其增加中近六成來自孳息、四成多來自淨買匯干預，資產價值漲跌在長期可被忽略，但短期則是外匯存底增減幅度波動的重要因素。扣除外匯存底孳息收入的自然增加，我國大幅累積外匯存底的時間並不是那麼多，只用外匯存底變動代替干預很容易高估央行的阻升金額與期間。央行連續買匯阻升的單根狀況只在1988年之前於統計上顯著，之後干預和匯率並無長期共整合關係。央行外匯買賣互現且缺乏單向持續性，2011年後市場也朝向更浮動的匯率調整。

關鍵字

外匯存底 ； 匯率 ； 外匯市場 ； 央行干預

並列摘要

We divide the change in Taiwan's foreign reserves into three parts: yield of the foreign reserves, intervention by the central bank of the Republic of China (Taiwan), and the value re-estimation of the foreign assets (including those from the changes of exchange rates between the US dollar and other foreign currencies). It is found that, during the period 1982-2015, 56% of the accumulation of Taiwan's foreign reserves is from its yield while 44% of it is from official intervention. Employing the change in foreign reserves as a proxy for intervention tends to overstate the degree of intervention of Taiwan's central bank. Except for the period 1982-1987 in which official intervention to prevent an appreciation of the NT dollar is apparent with a unit root process, there is no evidence the central bank intervenes to twist the trend of its exchange rate. The intervention data shows lack of persistency and is not co-integrated with the exchange rate of the NT dollar to the US dollar Since 2011, the scale of official intervention is being reduced and Taiwan's foreign exchange market is getting cleaner floating.

並列關鍵字

foreign reserves ； exchange rate ； foreign exchange market ； intervention

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