政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35127

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35127

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/35127

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35127

Title:	日本央行干預對新台幣匯率之波及效果
Authors:	蔡聰勇 Tsai, Tsung-Yong
Contributors:	郭炳伸 Kuo, Biihg-Shen 蔡聰勇 Tsai, Tsung-Yong
Keywords:	匯率干預日本央行最小平方法一般化自我迴歸條件異質變異數 exchange rate intervention Japan Central Bank OLS GARCH
Date:	2006
Issue Date:	2009-09-18 14:13:37 (UTC+8)
Abstract:	本研究以日本央行干預日圓匯率對新台幣匯率的波及效果為研究主題，選擇樣本期間為1999年1月5日至2003年12月31日之日資料做實證分析。本研究選擇日本央行干預外滙的貨幣數量、新台幣與日圓間前一日及前二日的匯率變動率、日本國定假日及日本重大經濟政策訊息為自變數，分析對因變數，也就是新台幣與日圓間匯率變動率有何影響。我們分別採用最小平方法(OLS)迴歸分析與一般化自我迴歸條件異質變異數GARCH(1,1)模型來進行分析，並發現GARCH(1,1)模型在估計上優於最小平方法(OLS) 迴歸分析；另外我們的結果也證實日本央行干預日圓與美元間匯率，在日圓外匯市場大量購買外匯，確實會對新台幣與日圓間匯率變動率造成影響，亦其的確對新台幣與日圓間匯率變動程度有波及效果。一直以來，國內有關央行干預行為的文獻中，大多探討台灣中央銀行的干預行為，對新台幣與美元間匯率變動的影響，較少有文獻在討論當日本央行透過干預日圓外匯市場，意圖使日圓相對於美元貶值時，新台幣與日圓間匯率的變動程度會因此受到波及。而本文實證研究發現，日本央行在干預日圓匯率時，的確會對新台幣與日圓間的匯率變動率造成影響，也就是說，日本中央銀行干預日圓匯率對新台幣匯率的波及效果是存在的，這對未來在估計新台幣與日圓間匯率變動時，將更能精確的估計新台幣與日圓間匯率變動的程度。關鍵詞:匯率干預(exchange rate intervention)、日本央行(Japan Central Bank)、最小平方法(OLS)、一般化自我迴歸條件異質變異數(GARCH)
Reference:	1. Artus, R. (1976), ”Exchange Rate Stability and Managed Floating：The Experience of the Federal Republic of Germany,” IMF Staff Papers, 23, 312-333. 2. Baillie, R., and W. Osterberg (1997), ”Why Do Central Banks Intervene,” Journal of International Money and Finance, 16, 909-919. 3. Baillie, R., and W. Osterberg (1997), ”Central Bank Intervention and Risk in the Forward Market,”Journal of International Economics, 43, 483-497. 4. Dominguez (1998), ”Central Bank Intervention and Exchange Rate Volatility,” Journal of International Money and Finance, 17, 161-190. 5. Michel Beine, Agne"s Be’nassy-Que’re’, Christelle Lecourt (2002), ”Central Bank Intervention and Foreign Exchange Rates:New Evidence from FIGARCH Estimations,” Journal of International Money and Finance, 21, 115-144. 6. Quirk, P. J. (1977), ”Exchange Rate Policy in Japan: Learning Against the Wind,”IMF Staff Papers, Vol.24, No.3, 642-664.
Description:	碩士國立政治大學國際經營與貿易研究所 94351028 95
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0094351028
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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