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研究生:趙尊敏
研究生(外文):Tsun-Min Chao
論文名稱:中央銀行干預及總體經濟訊息變數對匯率波動性的影響
論文名稱(外文):The effect of Central Bank intervention and macroeconomic news on the foreign exchange rate''s volatility.
指導教授:滑明曙滑明曙引用關係
指導教授(外文):Ming-Shu Hua
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:77
中文關鍵詞:中央銀行干預匯率波動性總體經濟訊息ARCH
外文關鍵詞:Central Bank InterventionExchange Rate VolatilityMacroeconomic NewsARCH
相關次數:
  • 被引用被引用:15
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:3
校院系所:國立暨南國際大學管理學院國際企業學系
畢業時間:民國九十年一月
提要別:碩士
研究生:趙尊敏
指導老師:滑明曙
關鍵字:中央銀行干預、匯率波動性、總體經濟訊息、ARCH
摘要:
近來,各國央行頻頻透過匯市干預去影響該國貨幣的價值,在短期內,各國央行都有一對抗失序匯市的共同目標,此篇論文在探討台灣央行的干預對於新台幣兌美元匯率波動性的影響,探討期間是1996至1999年,其使用ARCH模型去做實證研究,實證結果顯示:一般而言,中央銀行的干預運作的確降低匯率波動性,另外加入台灣與美國二國的利率差去作探討,結果顯示:二國利率差與新台幣兌美元匯率波動性呈現正向且明顯的關連,此外,又加入總體經濟訊息變數去作研究,結果發覺:存款準備率訊息的宣佈,其負向明顯的與新台幣兌美元匯率波動性相關,中央銀行召開理監事會議訊息的宣佈,其明顯的降低新台幣兌美元匯率波動性,再者,當考量到對日貿易,故而將日圓兌美元的匯率波動性加入模型後,其結果顯示:日圓兌美元匯率波動性對於新台幣兌美元匯率波動性有正向影響,然而,外資投入證券市場對於新台幣兌美元匯率波動性卻沒有顯著的影響。
Title of Thesis:The effect of Central Bank intervention and macroeconomic news on the foreign exchange rate’s volatility. Total Page:77
Name of Institute:Department of International Business Studies, Management School, National Chi Nan University
Graduate Date:January , 2002 Degree Confirmed:Master
Student Name:Tsun-Min Chao Advisor:Ming-Shu Hua
Keywords: Central Bank Intervention, Exchange Rate Volatility, Macroeconomic News, ARCH
Abstract:
Recently, the monetary authorities of many countries have frequently tried to influence the relative values of their currencies by means of exchange market intervention. In short term, all central banks have a common objective of countering disorderly exchange market conditions. The paper examines the effect of Taiwan Central bank intervention policy on Dollar-NT exchange rate volatility over the 1996-1999 period. I use ARCH model to do the empirical research. The result indicates that the intervention operation generally decreases exchange rate volatility. I also include the interest differential between Taiwan and the United States to control for relative monetary policies. Some evidence suggest that the interest differential is associated with positive and significant changes in NT/$ volatility. Besides, I add in macroeconomic news in the model to control for changes in macroeconomic conditions. The cause reveals that the announcement of the required reserve ratio news affects the NT/$ volatility obviously. The news of Central bank’s holding a meeting reduces exchange rate volatility. Furthermore, considering the trade with Japan, I put the Yen/$ volatility into the model. The result reflects that the Yen/$ volatility has a positive impact on the NT/$ volatility. However, the volume of the capital QFII put in the securities has no significant influences on the NT/$ volatility.
目 次
第壹章 緒論
   第一節 研究動機與目的………………………………………1
第貳章 文獻回顧
第一節 央行干預與匯率波動性………………………………………5
第二節 訊息理論與匯率波動性………………………………………12
第三節 總體經濟資訊與匯率波動性…………………………………17
第四節 央行干預與匯率決定理論……………………………………21
第五節 資金流動對匯率波動性的影響………………………………30
第參章 實證分析
第一節 實證模型………………………………………………33
一 資料範圍 …………………………………………33
二 模型建立 …………………………………………33
三 探究問題 …………………………………………39
第二節 實證結果………………………………………………40
一 原始資料檢視 ……………………………………40
二 單根檢定 …………………………………………45
三 模型選取 …………………………………………51
四 模型驗證 …………………………………………56
(一)、新台幣波動與日圓兌美元的匯率波動……58
(二)、新台幣匯率波動與利率差…………………61
(三)、新台幣匯率波動與外資投入股市金額的波動64
第肆章 結論與研究限制 ………………………………………………67
參考文獻 …………………………………………………………………72
  表 次
表1 央行理監事會議的決議與背景 …………………………………39
表2-1差分前的ADF Test Statistic …………………………………47
表2-2差分前的PP Test Statistic …………………………………48
表2-3差分後的ADF Test Statistic 與PP Test Statistic ………48
表3 敘述性統計檢定資料 ……………………………………………49
表4 OLS殘差的Q-test與Q-squared test ……………………………51
表5-1 選取GARCH(p,q)模型 .…………………………………………53
表5-2 選取GARCH(p,q)模型 .…………………………………………53
表6-1 模型的ARCH、TGARCH最佳化估計值 ……………………………54
表6-2 模型的ARCH、TGARCH最佳化估計值 ……………………………55
表7 原始模型的ARCH …………………………………………………56
表8 模型一的ARCH ……………………………………………………58
表9 模型二的ARCH ……………………………………………………61
表10 模型三的ARCH ……………………………………………………64
圖 次
圖1-1 新台幣兌美元匯率 ……………………………………………40
圖1-2 新台幣兌美元匯率波動性 ……………………………………40
圖2-1 日圓兌美元匯率 ………………………………………………41
圖2-2 日圓兌美元匯率波動性…………………………………………41
圖3-1 外資投入股市金額………………………………………………42
圖3-2 外資投入股市金額波動性………………………………………42
圖4-1 台灣、美國二國利率差…………………………………………43
圖4-2 台灣、美國二國利率差波動性…………………………………43
圖5 新台幣匯率與變數間的關係……………………………………35
圖6 ARCH(2)實證流程 ………………………………………………44
(一)中文部份
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2.馬志成(1996),「不同外資開放期間對新台幣波動性之研究--以總體經濟變數為控制變數」,國立中興大學(台北)企業管理研究所碩士論文。
3.朱美麗、曹添旺(1996),「匯率與沖銷干預~臺灣的實證研究」,經濟論文叢刊,第二十四輯第三期,頁383-407。
4.李崇主(1997)「台灣地區股價、匯率與外資關連性之研究」,國立中興大學企業管理研究所碩士論文。
5.吳宜勳(1999),「公開資訊對我國即期及遠期外匯市場的影響」,國立中正大學財務金融研究所碩士論文。
6許嘉麟(2000),「金融風暴前後股價、匯率與三大法人操作策略之關係研究」,淡江大學財務金融所碩士論文。
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