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題名 以事件研究法分析台灣央行干預行為之成效 作者 蔡依彣 貢獻者 張興華
蔡依彣關鍵詞 外匯市場
央行外匯市場干預
事件研究
Foreign Exchange Market
Central Bank Foreign Exchange Intervention
Event Studies日期 2012 上傳時間 22-Jul-2013 11:17:01 (UTC+8) 摘要 本文以報載之央行外匯干預新聞作為央行實際干預發生之代理變數，研究央行干預與台幣對美元匯率之間的關係，以及央行外匯干預的效果。由於台灣央行從未公開其外匯干預之實際行為，過去文獻多以央行外匯存底之變化作為央行干預之代理變數。而本篇研究以每日央行干預新聞作為央行實際干預的代理變數，使我們得以從日資料分析央行的干預行為與效果。本文的研究結果顯示，央行的主要干預方式屬於文獻所謂之「逆勢而行」(leaning against the wind)，亦即央行會在台幣升勢加大時進場阻升，台幣貶勢加大時進場阻貶。並且央行在干預時很少試圖強力扭轉當日的市場走勢，而是以類似踩煞車的方式阻止匯率升貶幅的進一步擴大。此外本文也證實文獻中關於央行「阻升不阻貶」之不對稱現象。最後本文以事件研究方法探討央行干預的有效性，發現台灣央行的外匯市場干預對匯率走勢多有達成與央行干預方向一致之結果。
This paper uses news report on the foreign exchange intervention conducted by the Taiwanese central bank (CBC) to analyze how such actions affect the NTD/Dollar exchange rate. We adopt the event study method proposed in Fatum and Hutchison (2006), using the news reports to define intervention events. Then we compare the average rate of return of NTD/Dollar exchange rate two days and five days before and after every intervention event, to check the effect of central bank intervention. We conclude that the CBC’s interventions are usually successful in achieving the central bank’s objectives.參考文獻 1.Dominguez (1990) “Market response to coordinated central bank intervention” , NBer Working Paper Series, National Bureau of Economic Research2.Dominguez, Kathryn M.and Jeffrey A. Frankel (1993) “Does Foreign Exchange Intervention Work? ”, Washington, D.C.: Institute International Economics. 3.Dominguez (1998) “Central bank intervention and exchange rate volatility”, Journal of International Money and Finance 17 (1998) 161-1904.Fatum and Hutchison (2002) “ECB Foreign Exchange Intervention and the EURO”,Open economies review 13: 413–425, 20025.Flood, Robert P.and Marion, Nancy P.(2000)“Self-Fulfilling Risk Predictions: An Application to Speculative Attacks”, Journal of International Economics, 50 (1), 245-268 6.Fratzscher M., 2005, “Strategies of exchange rate policy in G3 economies”, Economics Letters, 68-74.7.Fratzscher M. (2006)“On the long-term effectiveness of exchange rate communication and interventions”, Journal of International Money and Finance 25 (2006) 146~167.8.Guthrie, G., Wright J., 2000, “Market Implemented Monetary Policy with Open Mouth Operations”, Journal of Monetary Economics, 489-516.9.Guthrie, G., Wright J., 2000, “Market Implemented Monetary Policy with Open Mouth Operations”, Journal of Monetary Economics, 489-516. 10.Ito, T., 2002, “Is Foreign Exchange Intervention Effective? The Japanese Experiences in the 1990s,” NBER Working Paper No. 8914. 11.Toshiaki Watanabe , Kimie Harada (2004)”Effects of the Bank of Japan’s intervention on yen/dollar exchange rate volatility” J. Japanese Int. Economies 20 99–111 12.俞海琴, 1985, “我國央行干預行為之研究”, 台灣大學商學研究所碩士論文 13.黃功一, 1998, “中央銀行外匯市場干預行為”, 國立成功大學企業管理學系碩士論文 14.蔡聰勇, 2007,“日本央行干預對新台幣匯率之波及效果”, 國立政治大學國際貿易研究所碩士論文15.郭雅筑, 2009,“小型開放經濟下央行外匯干預政策不對稱性探討”, 國立台灣大學經濟學系碩士論文 16.張興華, 2011, “從央行干預新聞分析台灣央行外匯市場干預與台幣匯率之關係” , 證券市場發展季刊，即將出版 描述 碩士
國立政治大學
金融研究所
100352019
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100352019 資料類型 thesis dc.contributor.advisor 張興華 zh_TW dc.contributor.author (Authors) 蔡依彣 zh_TW dc.creator (作者) 蔡依彣 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 22-Jul-2013 11:17:01 (UTC+8) - dc.date.available 22-Jul-2013 11:17:01 (UTC+8) - dc.date.issued (上傳時間) 22-Jul-2013 11:17:01 (UTC+8) - dc.identifier (Other Identifiers) G0100352019 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58938 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 100352019 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 本文以報載之央行外匯干預新聞作為央行實際干預發生之代理變數，研究央行干預與台幣對美元匯率之間的關係，以及央行外匯干預的效果。由於台灣央行從未公開其外匯干預之實際行為，過去文獻多以央行外匯存底之變化作為央行干預之代理變數。而本篇研究以每日央行干預新聞作為央行實際干預的代理變數，使我們得以從日資料分析央行的干預行為與效果。本文的研究結果顯示，央行的主要干預方式屬於文獻所謂之「逆勢而行」(leaning against the wind)，亦即央行會在台幣升勢加大時進場阻升，台幣貶勢加大時進場阻貶。並且央行在干預時很少試圖強力扭轉當日的市場走勢，而是以類似踩煞車的方式阻止匯率升貶幅的進一步擴大。此外本文也證實文獻中關於央行「阻升不阻貶」之不對稱現象。最後本文以事件研究方法探討央行干預的有效性，發現台灣央行的外匯市場干預對匯率走勢多有達成與央行干預方向一致之結果。 zh_TW dc.description.abstract (摘要) This paper uses news report on the foreign exchange intervention conducted by the Taiwanese central bank (CBC) to analyze how such actions affect the NTD/Dollar exchange rate. We adopt the event study method proposed in Fatum and Hutchison (2006), using the news reports to define intervention events. Then we compare the average rate of return of NTD/Dollar exchange rate two days and five days before and after every intervention event, to check the effect of central bank intervention. We conclude that the CBC’s interventions are usually successful in achieving the central bank’s objectives. en_US dc.description.tableofcontents 第壹節 研究背景 1第貳節 研究架構 2第壹章、 文獻回顧 4第壹節 國內文獻 4第貳節 國外文獻 7第參節 小結 11第貳章、 研究資料 13第壹節 資料來源 13第貳節 新聞範例 13第參節 台幣匯率及干預新聞資料分析 15第參章、 事件研究 19第壹節 研究方法 19第貳節 以五日窗口分析央行干預外匯市場之成效 20第參節 以十日窗口分析央行干預外匯市場之成效 22第肆節 各年度央行干預外匯市場之成效 25第肆章、 結論 27 zh_TW dc.format.extent 1067724 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100352019 en_US dc.subject (關鍵詞) 外匯市場 zh_TW dc.subject (關鍵詞) 央行外匯市場干預 zh_TW dc.subject (關鍵詞) 事件研究 zh_TW dc.subject (關鍵詞) Foreign Exchange Market en_US dc.subject (關鍵詞) Central Bank Foreign Exchange Intervention en_US dc.subject (關鍵詞) Event Studies en_US dc.title (題名) 以事件研究法分析台灣央行干預行為之成效 zh_TW dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1.Dominguez (1990) “Market response to coordinated central bank intervention” , NBer Working Paper Series, National Bureau of Economic Research2.Dominguez, Kathryn M.and Jeffrey A. Frankel (1993) “Does Foreign Exchange Intervention Work? ”, Washington, D.C.: Institute International Economics. 3.Dominguez (1998) “Central bank intervention and exchange rate volatility”, Journal of International Money and Finance 17 (1998) 161-1904.Fatum and Hutchison (2002) “ECB Foreign Exchange Intervention and the EURO”,Open economies review 13: 413–425, 20025.Flood, Robert P.and Marion, Nancy P.(2000)“Self-Fulfilling Risk Predictions: An Application to Speculative Attacks”, Journal of International Economics, 50 (1), 245-268 6.Fratzscher M., 2005, “Strategies of exchange rate policy in G3 economies”, Economics Letters, 68-74.7.Fratzscher M. (2006)“On the long-term effectiveness of exchange rate communication and interventions”, Journal of International Money and Finance 25 (2006) 146~167.8.Guthrie, G., Wright J., 2000, “Market Implemented Monetary Policy with Open Mouth Operations”, Journal of Monetary Economics, 489-516.9.Guthrie, G., Wright J., 2000, “Market Implemented Monetary Policy with Open Mouth Operations”, Journal of Monetary Economics, 489-516. 10.Ito, T., 2002, “Is Foreign Exchange Intervention Effective? The Japanese Experiences in the 1990s,” NBER Working Paper No. 8914. 11.Toshiaki Watanabe , Kimie Harada (2004)”Effects of the Bank of Japan’s intervention on yen/dollar exchange rate volatility” J. Japanese Int. Economies 20 99–111 12.俞海琴, 1985, “我國央行干預行為之研究”, 台灣大學商學研究所碩士論文 13.黃功一, 1998, “中央銀行外匯市場干預行為”, 國立成功大學企業管理學系碩士論文 14.蔡聰勇, 2007,“日本央行干預對新台幣匯率之波及效果”, 國立政治大學國際貿易研究所碩士論文15.郭雅筑, 2009,“小型開放經濟下央行外匯干預政策不對稱性探討”, 國立台灣大學經濟學系碩士論文 16.張興華, 2011, “從央行干預新聞分析台灣央行外匯市場干預與台幣匯率之關係” , 證券市場發展季刊，即將出版 zh_TW
