沖銷干預與匯率動態－台灣的實證研究

Abstract

本文建立一個包括資產市場與財貨市場的匯率沖銷干預模型,探討匯率、外匯存底、國人持有的國外債券與政策變數的長期均衡關係。此外,並進一步進行單根檢定,利用共積分析法驗證理論上的長期均衡關係是否存在,並以誤差修正模型分析這些變數的動態調整途徑。結果發現:央行的確採行逆勢干預的政策;而在央行採行逆勢干預的情形下,本國貨幣與債券對匯率與外匯存底長短期的影響方向不同,匯率與外匯存底在短期出現反向調整的現象。財貨市場的納入,會使得本國貨幣與債券對匯率與外匯存底的長期影響程度變小。而利用民國74年1月至83年1月這一段期間的月資料估計所得的沖銷係數和抵銷係數,皆比過去相關研究所得到的數值低,顯示近年來央行沖銷的幅度有減少的趨勢,且貨幣政策的自主性頗高。

By setting up a portfolio balance model with goods market under managed floating exchange rates, this research explores the influence of expansions of money and bonds on exchange rates, foreign reserves and foreign assets held by domestic residents when the central bank adopts sterilized intervention. The cointegration analysis is adopted to test the theoretical long-run relationships among economic variables and error correction models are specified to examine the short-run dynamic paths. It is shown that the central bank intervention policy is leaning against the wind, and exchange rates and foreign reserves misadjust in the short run. The inclusion of goods market lessens the effects of changes in policies on exchange rates and foreign reserves in the long run, and empirical evidences also verify this finding. Both sterilization and offset coefficients are estimated with a value smaller than previous studies. This indicates a shift in the attitude of central bank in recent years.