台灣最適外匯準備持有量之評估

ASSESSING OPTIMAL RESERVE HOLDINGS OF TAIWAN

本文利用Jeanne and Ranciere(2006, J-R)的模型探討當出現資本突然外流(sudden stop)時，為了維持消費平滑，台灣所需持有之最適外匯準備。 我們的研究發現台灣在1982～2007年間出現資本突然外流之次數有六次， 頻率頗高；利用校準(calibration)分析法所估算之台灣最適外匯準備持有 量，約為GDP之17％，遠低於實際外匯準備持有量。當以J-R模型模擬台灣出現如1988年之高資本外流(47％之GDP)之狀況時，我們發現1990～2001年間之實際外匯準備持有量亦不足支應；然而，2001年之後實際外匯準備持有量仍然明顯高於最適外匯準備持有量，此應和低估貨幣以刺激出口之成長策略有關。另外，由於台灣特殊之政經環境，從資本突然外流之結構可以發現不只國外資本會突然外流，國內資本外逃亦是應該關注的焦點。

We use the model developed by Jeanne and Ranci`ere (2006, J-R), in which consumption smoothing can be warranted in the event of sudden stops of foreign capital inflows, to estimate Taiwan’s optimal foreign reserve holdings. We identified six sudden stops during the period of 1982–2007 in Taiwan. The calibration analysis shows that Taiwan’s optimal foreign reserves are approximately 17% of GDP, which is way below the actual foreign reserves. Simulating with the highest volume of capital outflows, which occurred in 1988 (47% of GDP), we found that actual foreign reserves were insufficient for the periods of 1990–2001. However, after 2001, actual foreign reserves were compellingly higher than optimal foreign reserves, and this could result from the undervaluation of Taiwan’s currency. Nevertheless, the subtlety of Taiwan’s political and economic environment suggests that the monetary authority needs to heed not only sudden foreign capital outflows but also the capital flight from domestic residents.