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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59967


    Title: 日本貨幣當局之外匯干預行為與成效
    Official intervention in the foreign exchange market:A case study of Japan
    Authors: 陳逸華
    Contributors: 張興華
    陳逸華
    Keywords: 日圓匯率
    口頭干預
    央行
    財務省
    Date: 2010
    Issue Date: 2013-09-04 10:07:50 (UTC+8)
    Abstract: 本研究藉由日本央行及財務省的官員談話，探討日本貨幣當局的干預行為，以及口頭干預和實際干預對於日圓匯率的影響。樣本期間為2000年1月3日到2011年3月1日。日本的口頭干預行為大致可分為兩種，第一種是阻止日圓繼續升值，第二種是在日圓升值期間對日圓表達關注。故本文以日圓兌美元的匯率變動率做為被解釋變數，以口頭干預的新聞做為解釋變數，探討日本貨幣當局的干預行為是否有效。
    分析主要分成兩個部分，第一部分先分析口頭干預是否顯著有使日圓貶值的效果，除了當天的口頭干預外，亦加入前一天及前兩天的口頭干預的虛擬變數做為解釋變數，以及實際干預量做為被解釋變數，以比較不同的時間點的口頭干預以及實際干預的效果。
    第二個部分則分析口頭干預是否會因為發表談話的官員身分不同，而對日圓兌美元匯率有不同的影響，結果顯示主掌國際事務的財務省副大臣對匯率發表談話最能產生使日圓貶值的效果。
    Reference: 中文

    1. 汪子騫, 1995, “亞太七國央行干預匯市行為與效果之研究”, 國立臺灣大學財務金融學研究所碩士論文
    2. 林儀君, 2006, “干預、沖銷、貨幣控制─東南亞實證分析”, 國立中山大學經濟學研究所碩士論文
    3. 俞海琴, 1985, “我國央行干預行為之研究”, 台灣大學商學研究所碩士論文
    4. 黃瓊如, 1992, “中央銀行外匯市場干預行為之探討─臺灣之實證分析”, 逢甲大學經濟研究所
    5. 郭雅筑, 2009,“小型開放經濟下央行外匯干預政策不對稱性探討”, 國立台灣大學經濟學系
    6. 黃功一, 1998, “中央銀行外匯市場干預行為”, 國立成功大學企業管理學系碩士論文
    7. 楊雅惠、許嘉棟, 2005, “新台幣匯率與央行干預行為”, 中央研究院經濟研究所
    8. 鄭秀芬, 1982, “外匯市場操作之研究”, 政治大學國際貿易研究所碩士論文
    9. 蔡聰勇, 2007,“日本央行干預對新台幣匯率之波及效果”, 國立政治大學國際貿易研究所碩士論文




    英文

    1. Branson,W.H., H.Halttunen and P.Masson ( 1977) “Exchange rate in the short Run:The Dollar-Deusche Mark Rate” European economic Review, 10,395-402
    2. Bollerslev,T.(1986),” Gerneralized Autoregressive Conditional　Herteroskedasticity”Journal of Econometrics,31,307-327
    3. Chiu, P . (2003)“Transparency versus constructive ambiguity in foreign exchange intervention” BIS Working Papers
    4. Dominguez, Kathryn M.and Jeffrey A. Frankel (1993) “Does Foreign Exchange Intervention Work? ”, Washington, D.C.: Institute International Economics.
    5. Dickey,D,A and Fuller,W.N.(1979)”Distribution of the Estimators of Autoregressive Times Series With a Unit Root” Journal of the American 74,427-431
    6. Engle,R.F.(1982)”Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Infaltion”Econometrica,50,987-1008
    7. Fatum, R.and Hutchison, M.M.,( 2002)“ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention”, Open Economies Review, 13 (4), 413-425.
    8. Flood, Robert P.and Marion, Nancy P.(2000)“Self-Fulfilling Risk Predictions: An Application to Speculative Attacks”, Journal of International Economics, 50 (1), 245-268.
    9. Fratzscher M. (2006)“On the long-term effectiveness of exchange rate communication and interventions”, Journal of International Money and Finance 25 (2006) 146~167.
    10. Gaiotti E., P. Guicca and S. Micossi, (1989)“Cooperation in Managing the Dollar(1985-1987):Intervention in Foreign Exchange Markets and Interest Rates ”Temidi Discission, Banca, dTtalia, Numero 119,giugno 1989.
    11. Granger,C.W.J. and Newbold,P. (1974)”Spurious regressions in economics” Journal of Econometrics 2,111-120
    12. Ito, T., 2002, “Is Foreign Exchange Intervention Effective? The Japanese Experiences in the 1990s,” NBER Working Paper No. 8914.
    13. Mussa,M (1981)“The Role of Official Intervention”New York: Group of Thirsty.
    14. Peter,C. B. Phillip and Pierre, P.(1988)“Testing for a unit root in time series regression”Biometrika 75,p335-346
    15. Said,E. and David,A.D (1984)” Testing for unit roots in autoregressive-moving average models of unknown order” Biometrika l71,p599-607
    16. Toshiaki Watanabe , Kimie Harada (2005)”Effects of the Bank of Japan’s intervention on yen/dollar exchange rate volatility” J. Japanese Int. Economies 20 99–111
    17. Vitale. P, Richard Payne (2003)“A transaction level study of the effects of central bank intervention on exchange rates” Journal of International Economics 61 331–352
    Description: 碩士
    國立政治大學
    金融研究所
    98352020
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098352020
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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