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題名 匯率波動與外匯干預
Exchange Rate Volatility and Central Bank Intervention
作者 謝柏笙
貢獻者 林馨怡
謝柏笙
關鍵詞 匯率波動
外匯干預
追蹤資料
分量迴歸
日期 2015
上傳時間 1-Oct-2015 14:24:21 (UTC+8)
摘要 本文章使用 Lin (2010) 的動態追蹤資料分量迴歸(DPQR)來分析匯率波動與外匯干預之間的關係。此外，本文更探討新興市場國家與非新興市場國家樣本間外匯干預對匯率波動的影響。實證結果發現,匯率波動較低時與外匯干預較不具有顯著的正向關係,然而當匯率波動較高時則與外匯干預呈現顯著
的正向關係。此外,在新興市場國家中,可發現在高匯率波動下,外匯干預與匯率波動之間為顯著的正向關係;而非新興市場國家樣本所得到的結果為外匯干預與匯率波動之間在為不顯著的正向關係。
參考文獻 Artus, J. R.(1983).Toward a more orderly exchange rate system,Finance and Development, 20 , 10-13

Akhtar,M.A.,Spence-Hilton,R.(1984).Effects of exchange rate uncertainty on German and U.S. trade,Quarterly Review,(New York:Federal Reserve Bank of New York,Spring), 7-16

Andersen,T.G.,Bollerslev,T.(1998).Answering the sceptics: yes standard volatility models do provide accurate forecasts,International Economic Review, 39 , 885-905.

Cameron,A.C., Pravin K. Trivedi(2005).Microeconometrics: Methods and Applications,Cambridge University Press, 697-778.

Brodasky,D.A.(1984).Fixed versus flexible exchange rates and the measurement of exchange rate instability,Journal of international economics, 16 , 295-306.

Broll,U.(1994).Foreign production and forward markets,Australian Economic Papers, 62 , 1-6

Bayoumi,T.,Eichengreen,B.(1998).Exchange rate volatility and intervention: implications of the theory of optimum currency areas,Journal of International Economics, 45 , 191-209.

Beine,M.,Laurent,S.,Lecourt,C.(2003).Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis,European Economic Review, 47 , 891-911.

Benita,G.and Lauterbach,B.(2007).
Policy Factors and Exchange Rate Volatility: Panel Data versus a Specific Country Analysis,International Research Journal of Finance and Economics, 7-23


Berganza,J.C.,Broto,C.(2012).Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries,Journal of International Money and Finance, 31 , 428-444

Carranza,L., Galdon-Sanchez, J.E., Gomez-Biscarri, J.(2009). Exchange rate and inflation dynamics in dollarized economies,Journal of Development Economics, 89 , 98-108.

Dominguez,K.M.(1993).Does Foreign-exchange intervention matter?the portfolio effect,The American Economic Review, 83 , 1356-1369.

Dominguez,K.M.(1998).Central bank intervention and exchange rate voatility.Journal of international money and finance, 17 , 161-190.

Dominguez,K.M.(2003).The market microstructure of central bank intervention,Journal of International Economics, 59 , 25-45.

Dominguez,K.M.(2006).When do central bank interventions influence intra-daily and longer-term exchange rate movements?,Journal of International Money and Finance, 25 , 1051-1071


Edison,H.,Cashin,P.,Liang,H.(2006).Foreign exchange intervention and the Australian dollar:has it mattered?,International Journal of finance and Economics, 11 , 155-171.

Frenkel,M.,Pierdzioch,C.,Stadtmanna,G.(2005).The effects of Japanese foreign exchange market interventions on the yen-U.S. dollar exchange rate volatility,International Review of Economics and Finance, 14 , 27-39.

Gotur(1985).Effect of exchange rate volatility on trade:some further evidence,IMF Staff papers.

Grossmann,A.,Love,I.,Orlov,A.G.(2014).The dynamics of exchange rate volatility: A panel VAR approach,Journal of International Financial Markets, Institutions and Money, 33 , 1-27


Hooper,P,Kohlhagen,S(1978).The effect of exchange rate uncertainty on the price and volume of international trade,Journal of international economics, 8 , 483-511

Hung,J.(1997).Intervention strategies and exchange rate volatility: a noise trading perspective,Journal of International Money and Finance, 16 , 779-793.

Hau,H.(2002).Real exchange rate volatility and economic openness: Theory and evidence,Journal of Money, Credit and Banking, 34 , 611-630

Ho,C., McCauley,R.N.(2003).Living with flexible exchange rates: issues and recent experience in inflation targeting emerging market economies,BIS Working Paper.

Jeffrey M.Wooldridge (2010).Econometric Analysis of Cross Section and Panel Data,MIT Press, 247-338.

Koenker, R. and G. Bassett (1978).Regression Quantiles,Econometrica, 46 , 33-50.

Kumar,V(1992).Real effects of exchange risk on international trade,Working paper, 92-95

Koenker, R. (2004).Quantile Regression for Longitudinal Data,Journal of Multivariate Analysis, 91 , 74-89.

Little, J.S., Romano, T.F.(2009). Inflation targeting-Central bank practice overseas,Federal Reserve Bank of Boston, Public Policy Briefs, 08-1 , 1-30.

Lin, H.(2010). Endogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach,mimeo, National Chengchi University.

Lin, H. Y., and Chen, P. Y., (2010).The relation between inflation and trade openness: the application of panel data quantile regression,Academia Economic Papers, 38:1 , 1-32.

McKenzie and Brooks(1997).The impact of exchange rate volatility on German-U.S. trade flows,Journal of international financial markets,institutions and money, 7 , 73-87.

McKenzie M.D.(1999).The impact of exchange rate volatility on international trade flows,Journal of economic Surveys, 71-106

McKenzie,M.(2002).The economics of exchange rate volatility asymmetry,International Journal of Finance and Economics, 7 , 247-260.

Rose,A.(2007).A stable international monetary system emerges:inflation targeting is Bretton Woods,revisted,Journal of international money and finance, 26 , 663-681.

William H. Greene (2011).Econometric Analysis ,Prentice Hall, 343-431.
描述 碩士
國立政治大學
經濟學系
102258014
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102258014
資料類型 thesis
dc.contributor.advisor 林馨怡zh_TW
dc.contributor.author (Authors) 謝柏笙zh_TW
dc.creator (作者) 謝柏笙zh_TW
dc.date (日期) 2015en_US
dc.date.accessioned 1-Oct-2015 14:24:21 (UTC+8)-
dc.date.available 1-Oct-2015 14:24:21 (UTC+8)-
dc.date.issued (上傳時間) 1-Oct-2015 14:24:21 (UTC+8)-
dc.identifier (Other Identifiers) G0102258014en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/78783-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 102258014zh_TW
dc.description.abstract (摘要) 本文章使用 Lin (2010) 的動態追蹤資料分量迴歸(DPQR)來分析匯率波動與外匯干預之間的關係。此外，本文更探討新興市場國家與非新興市場國家樣本間外匯干預對匯率波動的影響。實證結果發現,匯率波動較低時與外匯干預較不具有顯著的正向關係,然而當匯率波動較高時則與外匯干預呈現顯著
的正向關係。此外,在新興市場國家中,可發現在高匯率波動下,外匯干預與匯率波動之間為顯著的正向關係;而非新興市場國家樣本所得到的結果為外匯干預與匯率波動之間在為不顯著的正向關係。		zh_TW
dc.description.tableofcontents 1.緒論 1
2.文獻回顧 3
3.計量方法 9
3.1 追蹤資料模型 .................9
3.2 分量迴歸方法 .................... 10
3.3 追蹤資料分量迴歸分析 ......................11
3.4 動態追蹤分量迴歸分析 ......................12
4.資料 14
5.實證結果 20
5.1 基本結果 ..........................20
5.2 不同時期 .................22
5.3 穩健性檢驗 ...................24
5.4 新興市場國家與非新興市場國家 .................25
6.結論 27
參考文獻 28		zh_TW
dc.format.extent 1049926 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102258014en_US
dc.subject (關鍵詞) 匯率波動zh_TW
dc.subject (關鍵詞) 外匯干預zh_TW
dc.subject (關鍵詞) 追蹤資料zh_TW
dc.subject (關鍵詞) 分量迴歸zh_TW
dc.title (題名) 匯率波動與外匯干預zh_TW
dc.title (題名) Exchange Rate Volatility and Central Bank Interventionen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Artus, J. R.(1983).Toward a more orderly exchange rate system,Finance and Development, 20 , 10-13

Akhtar,M.A.,Spence-Hilton,R.(1984).Effects of exchange rate uncertainty on German and U.S. trade,Quarterly Review,(New York:Federal Reserve Bank of New York,Spring), 7-16

Andersen,T.G.,Bollerslev,T.(1998).Answering the sceptics: yes standard volatility models do provide accurate forecasts,International Economic Review, 39 , 885-905.

Cameron,A.C., Pravin K. Trivedi(2005).Microeconometrics: Methods and Applications,Cambridge University Press, 697-778.

Brodasky,D.A.(1984).Fixed versus flexible exchange rates and the measurement of exchange rate instability,Journal of international economics, 16 , 295-306.

Broll,U.(1994).Foreign production and forward markets,Australian Economic Papers, 62 , 1-6

Bayoumi,T.,Eichengreen,B.(1998).Exchange rate volatility and intervention: implications of the theory of optimum currency areas,Journal of International Economics, 45 , 191-209.

Beine,M.,Laurent,S.,Lecourt,C.(2003).Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis,European Economic Review, 47 , 891-911.

Benita,G.and Lauterbach,B.(2007).
Policy Factors and Exchange Rate Volatility: Panel Data versus a Specific Country Analysis,International Research Journal of Finance and Economics, 7-23


Berganza,J.C.,Broto,C.(2012).Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries,Journal of International Money and Finance, 31 , 428-444

Carranza,L., Galdon-Sanchez, J.E., Gomez-Biscarri, J.(2009). Exchange rate and inflation dynamics in dollarized economies,Journal of Development Economics, 89 , 98-108.

Dominguez,K.M.(1993).Does Foreign-exchange intervention matter?the portfolio effect,The American Economic Review, 83 , 1356-1369.

Dominguez,K.M.(1998).Central bank intervention and exchange rate voatility.Journal of international money and finance, 17 , 161-190.

Dominguez,K.M.(2003).The market microstructure of central bank intervention,Journal of International Economics, 59 , 25-45.

Dominguez,K.M.(2006).When do central bank interventions influence intra-daily and longer-term exchange rate movements?,Journal of International Money and Finance, 25 , 1051-1071


Edison,H.,Cashin,P.,Liang,H.(2006).Foreign exchange intervention and the Australian dollar:has it mattered?,International Journal of finance and Economics, 11 , 155-171.

Frenkel,M.,Pierdzioch,C.,Stadtmanna,G.(2005).The effects of Japanese foreign exchange market interventions on the yen-U.S. dollar exchange rate volatility,International Review of Economics and Finance, 14 , 27-39.

Gotur(1985).Effect of exchange rate volatility on trade:some further evidence,IMF Staff papers.

Grossmann,A.,Love,I.,Orlov,A.G.(2014).The dynamics of exchange rate volatility: A panel VAR approach,Journal of International Financial Markets, Institutions and Money, 33 , 1-27


Hooper,P,Kohlhagen,S(1978).The effect of exchange rate uncertainty on the price and volume of international trade,Journal of international economics, 8 , 483-511

Hung,J.(1997).Intervention strategies and exchange rate volatility: a noise trading perspective,Journal of International Money and Finance, 16 , 779-793.

Hau,H.(2002).Real exchange rate volatility and economic openness: Theory and evidence,Journal of Money, Credit and Banking, 34 , 611-630

Ho,C., McCauley,R.N.(2003).Living with flexible exchange rates: issues and recent experience in inflation targeting emerging market economies,BIS Working Paper.

Jeffrey M.Wooldridge (2010).Econometric Analysis of Cross Section and Panel Data,MIT Press, 247-338.

Koenker, R. and G. Bassett (1978).Regression Quantiles,Econometrica, 46 , 33-50.

Kumar,V(1992).Real effects of exchange risk on international trade,Working paper, 92-95

Koenker, R. (2004).Quantile Regression for Longitudinal Data,Journal of Multivariate Analysis, 91 , 74-89.

Little, J.S., Romano, T.F.(2009). Inflation targeting-Central bank practice overseas,Federal Reserve Bank of Boston, Public Policy Briefs, 08-1 , 1-30.

Lin, H.(2010). Endogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach,mimeo, National Chengchi University.

Lin, H. Y., and Chen, P. Y., (2010).The relation between inflation and trade openness: the application of panel data quantile regression,Academia Economic Papers, 38:1 , 1-32.

McKenzie and Brooks(1997).The impact of exchange rate volatility on German-U.S. trade flows,Journal of international financial markets,institutions and money, 7 , 73-87.

McKenzie M.D.(1999).The impact of exchange rate volatility on international trade flows,Journal of economic Surveys, 71-106

McKenzie,M.(2002).The economics of exchange rate volatility asymmetry,International Journal of Finance and Economics, 7 , 247-260.

Rose,A.(2007).A stable international monetary system emerges:inflation targeting is Bretton Woods,revisted,Journal of international money and finance, 26 , 663-681.

William H. Greene (2011).Econometric Analysis ,Prentice Hall, 343-431.		zh_TW