中央銀行外匯市場干預是否能有效降低市場匯價波動程度，是一個廣為討論的議題。臺灣中央銀行為打擊所謂「市場不正常預期心理」，在外匯市場的強力干預亦是常見動作。市場上對於央行匯市干預有效性抱持著不同的看法，尤其在民國87年央行以限制無本金交割遠期外匯資格打擊市場投機後，市場上對央行干預有效與否更是出現相當爭論。排除以往利用外匯存底變化做為央行干預匯市替代變數的缺點，本文改以每日外匯市場交易訊息推估央行外匯市場干預行為。透過所估算出之央行外匯市場干預金額，以GARCH模式分析央行外匯市場干預有效性議題。實證結果顯示，在研究樣本期間內央行匯市干預雖可減少當日匯價變化幅度，但卻無法有效降低匯價波動程度，同時干預有效與否和各階段外匯市場對匯價變化的預期有關。 Whether the intervention by central bank in foreign exchange market iseffective are one of main topics studied in international finance.Byavoiding using the foreign reserves as the intervention proxy ofcental bank, this research will use the intraday trade data in Taipeiforeign exchange market to estimate the Taiwan central bankintervention behavior. Using the intraday trading data can capture theimportnat market messages underlying in foreign exchange marekt andthese points are missing when using foreign reserves as proxy forcentral bank intervention. Besides the exchange rates volatiliy isheteroscedastic is well known in the literatures, in this research wewill use the GARCH model to evaulate whether the Taiwan central bankintervention in foreign exchange market is effective and can theintervention reduce exchange rate volatility?
關聯:
台灣經濟學會年會論文集(2000年)=Taiwan Econonomic Association Annual Cconference=Proceedings 2000，頁109-126
