就全期間而言，日本央行於日本匯市進行干預時，對日圓匯價波動無顯著影響，但日本央行干預，透過新台幣與日圓之共變異關係，連帶使得新台幣匯價波動加劇。 In this paper, we investigate the foreign exchange intervention effects of Bank of Japan on the volatility and covariance of NT dollar and Japanese Yen during 1991 and March 2004. By using multivariate GARCH model and daily foreign exchange intervention data of Bank of Japan, we estimate the effects of central bank intervention on both the variances and covariance between NT dollar and Japanese Yen. Our results show that Japan central bank intervention not only increase the volatility of exchange rates but also significantly increase the covariance between NT dollar and Japanese Yen.
