Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/89579
標題: 中央銀行對匯率干預之不對稱研究:以重大金融事件為例
The Empirical Study of the Taiwan Central Bank's Asymmetric Intervention in the Foreign Exchange Market:A Case of the Significant Financial Events
作者: Cheng-Hung Lin
林承宏
關鍵字: 匯率
重大金融事件
不對稱干預
結構性向量自我迴歸模型
structural vector autoregressive model (SVAR)
exchange rate
asymmetric Intervention
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摘要: 本文以開放經濟體系為理論基礎,建立結構性自我向量迴歸模型(SVAR),再運用衝擊反應圖形與預測誤差變異分解檢視模型變數是否合理。並參考陳旭昇(2014)方法運用 SVAR 模型認定出匯率結構性衝擊後,將匯率衝擊引入央行外匯干預模型,檢視在亞洲金融風暴與美國次貸危機,央行面對升值或貶值壓力有無對匯率實施不對稱干預。 研究結果發現央行在 1989 年 5 月至 2013 年 10 月之間採「阻貶不阻升」的匯率干預政策,而在亞洲金融風暴與美國次貸危機期間,中央銀行皆會對新台幣匯率進行「阻升不阻貶」的不對稱干預。
This thesis uses structural vector autoregressive model (SVAR) to identify structural exchange rate shocks, and divides exchange rate shocks into two parts, depreciation shocks and appreciation shocks, than examines whether the Central Bank of the Republic of China (Taiwan) intervened the exchange rate asymmetrically during the Asia financial crisis and The U.S. subprime mortgage crisis. The empirical results show that the Central Bank of the Republic of China (Taiwan) resisted the exchange rate depreciation and didn't resist appreciation from May 1989 to October 2013. But during the Asia financial crisis and The U.S. subprime mortgage crisis, the Central Bank of the Republic of China (Taiwan) resisted the exchange rate appreciation and didn't resist depreciation.
URI: http://hdl.handle.net/11455/89579
其他識別: U0005-0806201512002900
文章公開時間: 2018-07-15
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