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  • 學位論文

小型開放經濟下央行的干預政策與多邊干預行為

Central Bank's Intervention Policies and Multi-intervention Behaviors under Small Open Economy

指導教授 : 吳博欽
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摘要


論文摘要 本文以小型開放總體經濟模型為基礎,考量台灣對美國、英國、日本、香港、新加坡、澳大利亞、德國及荷蘭等八個主要貿易國的貿易量、物價、利率及匯率等因素,分別建立我國央行雙邊及多邊干預外匯市場(直接干預、沖銷干預及間接干預)的「量化」指標。實證上應用三階段最小平方法對1990年1月至2001年12月的台灣總體變數進行估計,衡量央行的多邊干預指數及外匯市場壓力指數,並與僅考慮對美貿易所形成的雙邊干預作比較,以探討我國採行管理浮動匯率制度的內涵。另外,以1997年7月亞洲金融風暴為基準,將全部樣本期間再區分為二個子樣本期間,分析亞洲金融風暴前後期間,央行干預外匯市場的態度之差異性。 實證結果顯示,央行採取的多邊干預程度低於雙邊干預程度,且雙邊干預下的平均直接干預、沖銷干預與間接干預程度均大於0.7,說明央行在僅考慮雙邊貿易下,傾向採取高度干預的匯率政策。其次,比較亞洲金融風暴發生前後央行的干預程度,在亞洲金融風暴發生之前,央行對外匯市場的平均雙邊干預程度大於亞洲金融風暴發生之後,反映亞洲金融風暴發生之前,央行傾向於高度干預外匯市場,以穩定新台幣兌美元的匯率水準。至於多邊干預方面,亞洲金融風暴前後央行對匯市的平均干預程度差異不大。其中,亞洲金融風暴發生之後,央行對匯市的直接干預程度與間接干預程度均大於亞洲金融風暴之前。另外,無論是在亞洲金融風暴發生前後,央行的雙邊干預程度均大於多邊干預程度,說明央行的穩定匯率政策重心主要放在新台幣兌美元的匯率水準上。 關鍵詞:外匯市場壓力、雙邊干預指標、多邊干預指標、 三階段最小平方法

並列摘要


Abstract Based on small open macroeconomic model, this thesis considers the factors that influencing Taiwan’s trade to establish the quantitative index for measuring Central Bank’s bilateral and multilateral intervention behavior (including the direct intervention, the sterilization intervention and the indirect intervention). These factors include the trade volumes, price levels, interest rates and exchange rates of Taiwan and her major trading partners (United States, England, Japan, Hong Kong, Singapore, Australia, Germany and Netherlands). In empirical evidence, I adopt three stages least square (3SLS) to estimate the simultaneous equation system. Quarterly data is selected from January 1990 to December 2001. Multilateral and bilateral intervention index and exchange market pressure index are measured and compared to investigate the meaning of managed floating exchange rate system in Taiwan. Besides, to judge the differential effect of Central Bank intervention, I split the sample period into two 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 direct intervention, sterilization intervention and indirect intervention are all larger than 0.7. This implies that the Central Bank in Taiwan pays more attention to stabilize the exchange rate of N.T. dollars for U.S. dollars, and adopts highly intervention policy. Moreover, the average bilateral intervention index before Asia currency crises period larger than that after Asia currency crises period. It reveals that the Central Bank trends to intervene in foreign exchange market to stabilize the exchange rate of N.T. dollars for U.S. dollars before Asia currency crises period. In the case of multilateral intervention, the average intervention indices that the Central Bank intervenes in foreign exchange markets between before and after Asia currency crises periods are indistinct. Notwithstanding above result, the direct intervention index and the indirect intervention index after Asia currency crises period are both larger than those before Asia currency crises period. Finally, the bilateral intervention index is lager than the multilateral intervention index during all sample period. It means that the Central Bank’s intervention policy focuses on the exchange rate of N.T. dollars for U.S. dollars. Keywords: Exchange Market Pressure, Bilateral (Multilateral) Intervention Index, 3SLS.

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,《中原大學國際貿易研究所碩士論文》。
吳博欽、潘聖潔(2003),小型開放經濟下央行的匯市干預與管理浮動匯率制度,《中原學報》,31(4),283-292。
Boyer, R.S. (1978), Optimal foreign exchange market intervention, Journal of Political Economy, 1045-1056.
Burdekin, R.C.K. and P. Burkett (1990), A re-examination of the monetary model of exchange market pressure: Canada 1963-1988, Review of Economics and statistics, 72, 677-681.
Eichengreen, B., A. Rose and C. Wypiosz (1995), Exchange market mayhem: the antecedents and aftermath of speculative attacks, Economic Policy, 21, 249-312.

被引用紀錄


羅婉云(2011)。央行干預在匯率波動對貿易的影響上所扮演的角色〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201101110

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