新臺幣匯率與央行干預行為

THE NEWTAIWAN DOLLAR EXCHANGE RATE AND CENTRAL BANK INTERVENTION

在我國所採行的機動匯率制度下，央行常為了政策性考量而進場干預匯市， 其影響不容忽視。本文藉由央行最適干預行為分析， 將央行的政策目標變數引入新臺幣匯率決定式。在本文對新臺幣匯率決定式的實證估計中， 無論是否考慮央行干預行為， 均發現國內外相對物價、利率差距與鄰國日韓之匯率走勢都有顯著影響； 又央行基於穩定物價、刺激景氣與平穩匯市等政策目標而進場干預， 亦顯著影響了匯率走勢。本文的實證分析清楚顯示： 考慮央行干預行為的模型比忽略央行干預行為的模型， 在解釋能力與預測能力兩方面表現都較佳。

The intervention of the Central Bank into the foreign exchangemarket is invariably undertaken based on policy objective considerations, and the influence that is brought to bear by such intervention is often far too significant to be ignored. This paper sets out to establish amodel of optimal Central Bank behavior, under policy objective considerations, in an attempt to explain the determination of the New Taiwan Dollar exchange rate. Our empirical study finds that the comparative prices and interest differences between domestic and foreign countries, and the exchange rate trendswithin neighboring countries such as Japan and South Korea, play significant roles in influencing the exchange rate trend of the New Taiwan Dollar. In addition to themarketmechanism,major policy considerations, such as domestic price stabilization, stimulation of the economy and exchange rate stabilization, have driven the Central Bank to undertake significant intervention into themarket. Other comparative empirical studies have shown that amodelwhich includes government intervention is far better, both in terms of explanatory power and forecasting power, than amodel which excludes government intervention.