臺灣博碩士論文加值系統

本研究是由一般匯率決定理論與外匯交易員的訪談，建立一影響新台幣匯率變動因素的問卷，以期歸納出台北外匯交易員觀之新台幣兌美元 (以下以USD/TWD代表) 即期匯率之影響因素、方向及各種干擾所造成之失衡的調整速度。
本問卷分為六大部份，包括交易員(受訪者)的基本資料、總體經濟因素對USD/TWD即期匯率之影響與均衡調整速度、非總體經濟因素對短、中、長期USD/TWD即期匯率之影響、中央銀行的干預與USD/TWD即期匯率之波動性關係、銀行間直接買賣價差偏離之原因與時機，最後則由專業交易人觀點探討USD/TWD即期匯率之可預測性問題。
依回收問卷之勾選項，透過李克尺度(Likert Scale)將意見強度量化為數量指標，再使用SPSS 11.0 for Windows 進行ANOVA集體檢定和Scheffe多重比較法分析。本文之結論可歸納如下:
台北外匯交易從業人員，對總體經濟因素干擾及影響新台幣幣值升或貶值的看法，基本上與理論方向一致。其中外資匯入款與經常帳餘額對匯率之升值影響效果意見最高。但以本國與外商銀行從業人員意見進一步分析發現，經常帳餘額影響新台幣匯率的看法兩群體樣本意見有顯著不同。
總體外生干擾變數與新台幣匯率之均衡調整速度方面，台北外匯交易員認為所有外生干擾變數均傾向於在中、長期才能使匯率達成均衡。其中以利率外生變化造成之均衡匯率調整速度，在中期顯著高於其它總體變數干擾。
攸關非總體變數對新台幣匯率影響研究中，短期新台幣匯率的干擾因素以市場投機行為和新聞訊息發佈最為顯著。而中、長期的匯率走勢仍以反應經濟基本面最為明顯。
台北外匯交易員顯著認為央行干預的目的可達成，同時央行干預使市場波動性增加；至於干預時機之恰當性及干預使匯率趨近合理均衡水準，則明顯持相反見解。
由銀行間買賣價差的研究發現，全體交易員認為之平均買賣價差點數為6.26點，本國與外商銀行受訪者的平均數相當一致，且均無顯著差別。至於是否會偏離買賣報價意見方面，63.54%(61位)受訪者表示不會偏離傳統買賣價差，另外36.46%(35位)受訪者則表示會偏離傳統買賣價差。擴大買賣價差之主要時機與原因為「開盤時」，其次為當市場有「被無法預期的事件影響時」。縮小買賣價差之主要時機與原因為「從交易對手處得到較窄的買賣報價」，其次為「市場安靜無行情時」。
最後，關於USD/TWD即期匯率之可預測性問題，台北外匯交易員認為，愈短期之匯率愈可預測，長期走勢則難以掌控。

The purpose of this research is, from the viewpoint of FX traders, to identify factors that influence the USD/TWD spot rates, how these factors impact the USD/TWD spot rates, and the adjustment speed to achieve new balance in case imbalance occurs. This research is implemented by interviewing several FX traders in Taipei and asking some FX traders in Taipei to fill in a questionnaire which is designed according to general foreign exchange determination theories.
The questionnaire is composed of six parts. First, respondents’ profile. Second, the influence of macroeconomic factors on the USD/TWD spot rate and the adjustment speed to achieve balance once macroeconomic factors cause imbalance in the FX market. Third, the influence of non-macroeconomic factors on the levels of short-, medium-, and long-term USD/TWD spot rates. Fourth, the relationship between the central bank’s intervention and the volatility of the USD/TWD spot rates. Fifth, the reasons for and timing of the deviation of the interbank bid-offer spreads from their normal levels. Sixth, the predictability of the USD/TWD spot rates from traders’ perspective.
The responses on the returned questionnaires are quantified to numerical indexes according to Likert Scale, and then examined with ANOVA and Scheffe multiple comparison method. The conclusions this research reaches are as follows.
When it comes to the impact of macroeconomic factors on the change in the USD/TWD spot rates, the spot traders’ thoughts agree with what economic theories portray. Among the factors, the balance of the current account and that of the capital account are considered the most crucial. However, one interesting thing discovered in this research is that traders in local banks and those in foreign banks are apparently divided on how the balance of the current account influences the USD/TWD spot rates.
About the adjustment speed for the USD/TWD market to achieve equilibrium from inequilibrium caused by exogenous disturbing factors, traders believe that the new equilibrium can be achieved only in the medium to long run. Among all the exogenous disturbing factors that result in inequilibrium, the interest rate clearly causes the rapidest adjustment process than any other factors.
As far as non-macroeconomic factors are concerned that influence the USD/TWD spot rates, the speculative actions in the market and market participants’ reaction to real-time news are the two most important short-term factors. And the most important medium- to long-term factors are economic fundamentals.
Regarding the intervention by the central bank, FX traders in Taipei agree that the central bank can accomplish its objective to intervene and that the intervention does increase fluctuation in the market. But they disagree that the timing of the intervention by the central bank is appropriate or that the intervention can bring the USD/TWD spot rates to a reasonable level of equilibrium.
With respect to the bid-offer spreads of the USD/TWD spot quotes by interbank traders, the average spreads are 6.26 pips. And the spreads of quotes by traders in local banks and those by traders in foreign banks are very similar. No statistically significant difference in the spreads is detected. When asked if they will quote two-way prices whose bid-offer spreads are deviant from conventional market practice, 61 respondents, or 63.54% of all respondents, indicate that they never do so while the rest 35 respondents, or 36.46% of all respondents, indicate that it is likely for them to do so. The most distinct timing of quoting wider bid-offer spreads is when the market is just open in the morning, followed by when the market is influenced by unexpected events, when important information is going to be released or is just being released, and when the fluctuation in the market surges. And the common occasions for traders to quote narrower bid-offer spreads are when they get prices of narrower bid-offer spreads from their counterparties and when the market is very quiet.
Lastly, concerning the predictability of the USD/TWD spot rates, traders believe that the shorter the period of time to be forecast, the more predictable the spot rates. Traders also think that it is very difficult to predict long-term trends of the USD/TWD spot rates.

頁次
第一章緒論……………………………………………………………......……...1
第一節研究動機與目的.................................................................................1
第二節研究架構.............................................................................................3
第二章文獻探討…………………………………………………..…...…………4
第一節台北外匯市場概觀.............................................................................4
第二節文獻探討.............................................................................................7
第三章研究方法…………………………………………………….....…….….18
第一節研究流程設計...................................................................................18
第二節研究方法...........................................................................................19
第三節研究工具...........................................................................................19
第四節資料說明...........................................................................................21
第四章實證結果與分析.......................................................................................22
第一節訪受者基本分析...............................................................................23
第二節總體經濟因素與匯率關係分析.......................................................26
第三節總體變數與新台幣匯率之短、中、長期均衡關係….....……..…31
第四節影響新台幣匯率之非總體因素分析…………………...…..……..37
第五節中央銀行干預對新台幣兌美元即期匯率之影響與效果...............43
第六節台北外匯市場銀行間直接買賣報價偏離時機與原因分析...........44
第七節新台幣匯率之可預測性...................................................................55
第五章結論與建議...............................................................................................59
第一節研究結論...........................................................................................59
第二節研究限制與建議...............................................................................61
參考文獻...............................................................................................................63
附錄(問卷)............................................................................................................66

一、中文部分
1. 趙尊彬(2002)，「中央銀行干預政策對外匯市場干預指標的影響」，中原大學國際貿易學系研究所碩士論文。
2. 滑明曙(2002), 「外匯交易員的買賣價差行為之研究」，暨南大學國際企業學系研究所
3. 楊士慶(2001)，「台灣偏離利率平價理論之成因探討」，國立中山大學財務管理研究所碩士論文
4. 項慧芬(2001)，「我國中央銀行干預成效之實證分析」，東吳大學經濟學系研究所碩士論文
5. 王凱民(1995)，「匯率買賣差價與匯率波動之關係─新台幣與美元之實證研究」，國立中興大學經究研究所碩士論文
6. 王文芳(2001)，「存貨制與外匯日內價量之關係」，暨南大學國際企業學系研究所碩士論文
7. 江研慧(1998)，「匯率決定因素之整合研究」，國立中興大學財政學研究所碩士論文
8. 許瓊瑛(1998)，「匯率與資本移動間共整合關係之研究─台灣實證分析」，東吳大學經濟學系研究所碩士論文
9. 廖乃儀(2000)，「中央銀行對台北外匯市場干預行為分析」，淡江大學產業經濟學系研究所碩士論文
10. 趙尊敏(2002)，「中央銀行干預及總體經濟訊息變數對匯率波動性的影響」，暨南大學國際企業學系研究所碩士論文
11. 頻宗宏(2001)，「中央銀行干預與外匯市場風險─風險值(VaR)分析之應用」，淡江大學產業經濟學系研究所碩士論文
12. 王啟山(1999)，「利率、匯率與股價指數互動關係之研究─狀態空間模型之應用」，國立中興大學企業管理學系研究所碩士論文
13. 魏端余(1999)，「新台幣兌美元外匯市場技術分析獲利性之研究」，暨南大學國際企業學系研究所碩士論文
14. 曾淑娟(1996)，「匯率與總體變數間共整合關係之研究」，國立中正大學財務金融學系碩士論文
15. 紀燕翎(2002)，「購買力平價說對匯率動態解釋能力─不同開發國家匯率實證結果」暨南大學經濟學系研究所碩士論文
16. 何方治(1993)，「影響台灣外匯交易員決策之因素與匯率預測之探討」，國立台灣大學商學研究所碩士論文
17. 賴佩莉(2000)，「新台幣美元日內價量關係之實證分析」，淡江大學產業經濟學系研究所碩士論文
18. 黃登源，「統計調查設計與分析」，輔仁大學管理學院講義系列叢書(7)
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20. 顏月珠，「高階統計方法」
二、英文部分
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2. Bjonnes, G., and D. Rime (2000), “FX trading ... live: Impact of new trading environments”, Norwegian School of Management ,December.
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5. Martin D. D. Evans & Richard K. Lyons (2002), “Time-varying liquidity in foreign exchange”, Journal of Monetary Economics 49,1025-1051.
6. Jeremy Fand & Blu Putnam (2002)，“The key drivers of currency markets”, Euromoney Institutional Investor PLC, Feb 2002, 51-53
7. Yin-Wong Cheung & Menzie D. Chinn (1999), “Macroeconomic implications of the beliefs and behavior foreign exchange traders”, NBER working paper No. 7417, Novermber 1999
8. Richard K Lynos (2002), “Foreign exchange: Macro puzzles, micro tools”, Federal Reserve Bank of San Francisco, 51-69
9. C. L. Osler (2001), “Currency orders and exchange-rate dynamics: Explaining the success of Technical analysis”, Federal Reserve Bank of New York, March
10. Dagfinn Rime (2000), “Private or public information in foreign exchange markets? An empirical analysis”, Applied Economics, April
11. Geir Hoidal Bjonnes & Dagfinn Rime (2000), “Customer trading and information in foreign exchange markets”, Department of Economics University of Oslo
12. Andrew Bailey, Stephen Millard & Simon Wells (2001), “Capital flows and exchange rate”, Bank of England Quarterly Bulletin, Autumn, 310-318
13. Martin D. D. Evans & Richard K. Lyons (2002), “Order flows and exchange rate dynamics”, Journal of Political Economy, 2002 vol. 110, no. 1
14. Blake LeBaron (1996), “Technical trading rule profitability and foreign exchange intervention”, National Bureau of Economic Research, NBER Working paper 5505, March
15. Yin-Wong Cheung & Clement Yuk-Pang Wong (2000), “A survey of Market Practitioners’s views on exchange rate Dynamics”, Journal of International Economics 51: 401-419
16. K. M. Dominguez (1998), “Central Bank intervention and exchange rate volatility”, Journal of International Money and Fianace 17, 161-190
17. Y. W. Cheung & C. Y. P (1997), “Foreign exchange markets in Hong Kong, Tokyo, and Singapore”, UCSC working paper
18. M. Melvin & T. Bollerslev (1994), “Bid-ask spreads and volatility in the foregin exchange marekt”, Journal of International Economics 36, 355-372
19. N. C. Mark (1995), “Exchange rate and fundamentals: evidence on long-horizon predictability”, American Economic Review 85, 201-218