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| Title: | 各國央行干預匯率推估方式的比較
Comparison of different proxies for central banks foreign exchange interventions |
| Authors: | 李佳盈
Li, Jia Ying |
| Contributors: | 張元晨
Chang, Yuan Chen
李佳盈
Li, Jia Ying |
| Keywords: | 央行干預
外匯存底 |
| Date: | 2016 |
| Issue Date: | 2016-07-01 14:58:48 (UTC+8) |
| Abstract: | 大部分國家央行干預匯率資料不對外公開，所以要推估央行干預的金額只能透過兩種管道，一是新聞媒體非正式的報導，二是外匯存底的變化，因此新聞報導與實際央行干預的關連性是一個值得探討的主題，另外，過去文獻常以外匯存底的變化當作央行干預金額的替代變數，但是因為造成外匯存底的變化有許多因素，是否排除影響外匯存底變化的某些因素後，能找出更能夠捕捉到央行干預變化的外匯存底變動量也是本論文另一個研究議題。
本論文實證結果有三部分，第一部分關於新聞報導正確性，研究結果發現在有路透社央行干預新聞報導的情形下，祕魯(土耳其)央行有實際干預的機率高達97.75%(100%)，同時在有祕魯(土耳其)央行實際干預的情形下，路透社有關央行干預新聞的機率為47.61%(100%)，這樣的結果證實央行干預新聞報導在這兩個新興國家有其參考價值。
第二部分是有關模擬外匯存底與實際央行干預金額的關連性分析，本研究利用IMF Special Data Dissemination Standard(SDDS)模組中的外匯存底金額，將利息所得項與價值變動項從外匯存底變化量中區分出來，得到央行干預匯率的積極管理項，實證結果發現相較於未調整的外匯存底變化量，大部分國家的積極管理項與央行實際干預金額的相關性較高。
第三部分是否調整外匯存底變化的結構性改變後，其與央行干預匯市的相關性會有所不同，本研究實證結果發現大部分國家的相關係數都有結構性改變，但並非每個經過結構性改變調整的外匯存底與該國央行干預的相關性會較高，表示模擬外匯存底的估計仍有其限制，無法精準估計央行買賣外匯的數量。本論文也發現在大規模央行干預期間，經過結構性改變偵測後的外匯存底，墨西哥的模擬外匯存底與央行干預的相關性較未調整的外匯存底為高。
Official data on currency intervention by major central banks generally are not released publicly. Therefore, some researchers have either used news reports or changes in international reserves to proxy for unobservable intervention data. Therefore, it is important to investigate the accuracy of news report of central banks’ foreign exchange intervention reports. In addition, previous literature also used the changes of the international reserves as a proxy for central bank interventions. However, reserve changes are not only affected by central bank interventions but also by other factors. For instance, receipt of interest income on existing reserve assets or valuation changes in existing reserve assets both affect the changes of foreign exchange reserves. We also evaluate whether a modified reserve variable proxies for central bank intervention better.
Three empirical results are provided in this paper. First, we show that the conditional probability of intervention occurring by Central Reserve Bank of Peru (by Central Bank of the Republic of Turkey) given that it was reported by Reuters news was 97.75% (100%) and that the conditional probability of intervention being reported given that it occurred was about 47.61% (100%). These results indicate that intervention news reports are an important proxy for actual central bank intervention in these two countries.
Second, using IMF Special Data Dissemination Standard (SDDS) Reserve Template, we distinguish interest income and valuation changes in the stock of official reserves from the actively managed component of reserves. We find that the correlation between active management component of reserves and central bank intervention are higher than that between changes in reserves without any adjustment. This modified reserve variable serves as another useful indicator to proxy for central bank foreign exchange market intervention.
Finally, using a new method to detect regime shift in the correlation coefficient (Rodionov, 2015), we find that there are abrupt changes in the time series of central bank intervention and foreign reserves. We find that there are some shifts in the correlation coefficient between central bank intervention and official reserves (or simulated foreign reserves) in most countries, but the shift-detected correlation coefficient between central bank intervention and simulated foreign reserves may not increase. In addition, the original correlation coefficient between central bank intervention and unadjusted reserves is higher during the period of large-scale central bank intervention in Mexico before regime shift detection. However, after considering regime shifts, the correlation coefficient between central bank intervention and simulated foreign reserves becomes higher in Mexico. |
| Reference: | Chang Y., 2006. The accuracy of reports of foreign exchange intervention by the Bank of Japan: Does Tokyo know more? Journal of International Money and Finance 25 (8), 1241-1256
Chun O.M., Dionne G., Francois P., 2014. Detecting regime shifts in credit spreads. Journal of Financial and quantitative analysis 49 (5-6), 1339-1364
Dominguez K.M.E., 2012. Foreign reserve management during the global financial crisis. Journal of International Money and Finance 31 (8), 2017-2037
Dominguez K.M.E., Hashimoto Y., Ito T., 2012. International reserves and the global financial crisis. Journal of International Economics 88 (2), 388-406
Fatum R., Michael M. Hutchison, 2002. ECB foreign exchange intervention and the EURO: institutional framework, news, and intervention. Open economies review 13 (4), 413-425
Fratzscher M., Gloede O., Menkhoff L., Sarno L., Stöhr T., 2015. When is foreign exchange intervention effective? Evidence from 33 countries. DIW Berlin discussion paper No. 1518
Klein M.W., 1993. The accuracy of reports of foreign exchange intervention. Journal of International Money and Finance 12 (6), 644-653
Neely C.J., 2000. Are changes in foreign exchange reserves well correlated with official intervention? Federal reserve bank of ST. Louis review 82 No. 5, 17-32
Ozatay F., 2004. Monetary and exchange rate policies in the post-crisis period in Turkey. BIS working paper No. 24
Rodionov S.N., 2006. Use of prewhitening in climate regime shift detection. Geophysical research letters 33, L12707
Rodionov S.N., 2015. A sequential method of detecting abrupt changes in the correlation coefficient and its application to Bering Sea climate. Climate 2015, 3(3), 474-491
Tashu M., 2014. Motives and effectiveness of forex interventions: evidence from Peru. IMF working paper 14/217 |
| Description: | 碩士
國立政治大學
財務管理研究所
103357008 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103357008 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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