外匯干預與資本管制之理論研究與實證分析

Abstract

本文從存、流量互動的觀點,建立一資本管制且涵蓋央行外匯干預的資產選擇模型,探討匯率與政策變數的均衡關係與資本管制放寬的影響,以及央行外匯干預的可能影響;並且利用台灣的資料,以共整合分析從事實證的研究。本文主要論點有二:(1)理論分析發現本國信用與債券對匯率的影響方向為正;此外,資本管制程度變小,本國信用對匯率的影響力變大,但債券發行量對匯率的影響則不一定,與央行外匯干預幅度的大小有關。(2)實證研究的結果顯示,台灣在1985年9月至1996年9月這一段期間,本國通貨與債券發行量對匯率的影響為正,而此種政策效果,在台灣逐漸解除資本管制的措施後,本國信用擴張的影響增強,但本國債券的影響則減弱,顯示央行為避免匯率的過度波動,仍從事相當程度的外匯干預。

This paper constructs a portfolio model with central bank`s intervention to study the effects of the deregulation of capital control on the exchange rate determination and the policies` influence. In addition, the role of foreign intervention in the process of financial liberalization is reviewed. Main conclusions are: theoretically, the effects of domestic credit expansion and the increase of bonds on exchange rates are positive; the increasing capital mobility strengthens the effects of monetary expansion while such change may increase or decrease the effects of bond expansion depending on the behavior of foreign intervention. Second, the empirical evidence shows that during the period from September 1985 to September 1996, the case of Taiwan is quite consistent with theoretical investigation. However, the decreasing influence from bond expansion indicates that our central bank`s intervention in the foreign exchange market is quite substantial.