| dc.contributor.advisor | 郭炳伸 | zh_TW |
| dc.contributor.author (作者) | 蔡宜靜 | zh_TW |
| dc.contributor.author (作者) | Tsai, Yi Ching | en_US |
| dc.creator (作者) | 蔡宜靜 | zh_TW |
| dc.creator (作者) | Tsai, Yi Ching | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 18-九月-2009 14:10:38 (UTC+8) | - |
| dc.date.available | 18-九月-2009 14:10:38 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-九月-2009 14:10:38 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0093351015 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35105 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 93351015 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 過去文獻探討干預政策影響匯率的管道主要有三個：貨幣管道、資產組合管道與訊息管道。在沖銷干預不改變貨幣基數下，無法透過貨幣管道影響匯率；而過去文獻中對於資產組合管道之實證結果非常不一致，因此，Mussa在1981提出訊息管道認為央行目前的沖銷干預政策可能隱含未來的匯率與貨幣政策進而改變市場參與者的預期而影響目前的匯率水準。Lewis (1995)使用1985年至1990年美國公開的外匯干預日資料估計一個兩變數的VAR模型，探討干預與貨幣政策之間的關係。同時檢定現在的外匯干預是否隱含未來貨幣政策的改變以及貨幣政策的改變是否引起央行採行逆勢操作的干預政策。Lewis的研究結果顯示，此兩個假設皆成立，表示外匯干預可能預測未來貨幣政策的改變以及貨幣政策的改變也可能使央行進場干預匯率。此外，Lewis也利用衝擊反應函數估計不同貨幣政策變數的衝擊對匯率的影響，發現非借入準備 (nonborrowed reserve) 的衝擊對匯率的影響較M1顯著。本文參考Lewis的分析架構並且使用台灣資料進行實證分析並進一步估計一個三變數的VAR模型欲探討干預與匯率之直接影響效果。結果發現訊息管道與逆勢操作政策皆存在，且干預對新台幣兌美元的影響較日圓顯著；在貨幣政策變數上，非借入準備對匯率之影響較M1顯著，此結果與Lewis相符。 | zh_TW |
| dc.description.tableofcontents | 第一章、 緒論 1.1 研究背景與動機 1.2 研究架構 第二章、 文獻回顧 2.1 央行外匯干預之動機 2.2 沖銷干預與非沖銷干預 2.3 訊息管道的實證文獻回顧 第三章、 理論模型與計量方法 3.1 匯率決定理論---考慮預期下的資產定價模型 3.2 計量方法 3.2.1 向量自我迴歸模型 3.2.2 最適落後期數選取之準則 3.2.3 衝擊反應函數 第四章、資料來源與實證結果 4.1 資料來源與處理 4.2 實證結果與分析 4.2.1 單根檢定 4.2.2 干預與貨幣政策之相關性分析 4.2.3 貨幣政策與匯率之相關性分析 4.3 三變數之VAR模型估計與衝擊反應函數之分析 第五章 結論 附錄一 附錄二 附錄三 附錄四 參考文獻 圖表目錄圖次圖4.1 匯率(新台幣兌美元)對國內貨幣政策之衝擊反應圖 圖4.2 匯率(新台幣兌日元)對國內貨幣政策之衝擊反應圖 圖4.3 國內貨幣政策對匯率(新台幣兌美元)之衝擊反應圖 圖4.4 匯率(新台幣兌美元)對干預之衝擊反應圖 表次表2.1 中央銀行資產負債表 表4.1 單根檢定結果 表4.2 干預對國內貨幣政策之Granger因果關係檢定結果 表4.3 干預對國內貨幣政策之VAR係數估計結果 表4.4 干預對國內外利差變動之Granger因果關係檢定結果 表4.5 干預對國內外利差變動之VAR係數估計結果 表4.6 國內貨幣政策對干預之Granger因果關係檢定結果 表4.7 國內貨幣政策對干預之VAR係數估計結果 表4.8 國內外利差變動對干預之Granger因果關係檢定結果 表4.9 國內外利差變動對干預之VAR係數估計結果 表4.10匯率(新台幣兌美元)對國內貨幣政策之VAR係數估計結果 表4.11匯率(新台幣兌日元)對國內貨幣政策之VAR係數估計結果 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093351015 | en_US |
| dc.subject (關鍵詞) | 外匯干預 | zh_TW |
| dc.subject (關鍵詞) | 訊息管道 | zh_TW |
| dc.subject (關鍵詞) | 向量自我迴歸模型 | zh_TW |
| dc.title (題名) | 我國外匯干預與貨幣政策及匯率變動之相關性分析--訊息傳遞管道 | zh_TW |
| dc.type (資料類型) | thesis | en |
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