東亞國家貨幣政策與外匯市場壓力之互動

Abstract

在管理浮動的匯率制度之下，央行對外匯市場所做的干預政策是否有效，一直是眾多學者們感興趣的議題。Girton and Roper（1977）以貨幣需求模型導出在匯率管制制度之下的外匯市場壓力衡量方式，以便於研究央行在外匯市場上的干預與外匯市場衝擊之間的互動關係。Gochoco-Bautista and Bautista（2005）即以他們的做法衡量外匯市場壓力，以90 年代的菲律賓做研究。結果證實傳統理論上緊縮性的貨幣政策能夠減少外匯市場壓力的論點。但在他們的實證結果中發現，以利率差為指標的緊縮性貨幣政策在金融危機期間發生相反的影響效果，即提高利率反而會增加外匯市場壓力。然而，Weymark（1995）提出Girton and Roper（1977）衡量外匯市場壓力的方法有不妥之處，因而定義和導出一個獨立於模型（model-independent）、一般化的外匯市場壓力衡量方法。 有鑑於此，本文以八個東亞國家為例，根據Girton and Roper（1977）和Weymark（1997）的做法衡量各國的外匯市場壓力，使用向量自我迴歸（vector autoregression；VAR）方法個別估計分析，並以一般化動差法（Generalized Method of Moment；GMM）對追蹤資料（panel data）向量自我迴歸模型做整體的估計分析，探討這八個東亞國家的貨幣政策與外匯市場壓力的互動。此外也觀察這些互動關係是否會因為金融危機的發生而有所改變。結果證實，大致上央行實施緊縮性的貨幣政策能符合傳統理論降低外匯市場壓力，但是在東南亞金融危機發生之後，執行提高利率的緊縮性貨幣政策轉變為會提高外匯市場壓力。而各國貨幣當局在面對外匯市場壓力的上升時，大多以提高利率的緊縮性貨幣政策和增加國內信用成長的擴張性貨幣政策來因應之。不過，在無金融危機發生的期間，各國實行擴張或是緊縮國內信用的貨幣政策並不一致。

It is of interest to investigate the issue that whether the exchange market intervention policies of central banks is valid under the managed exchange rate systems. Girton and Roper (1977) proposed a measure of exchange market pressure derived from a monetary model in a small open economy. Gochoco-Bautista and Bautista (2005) used the Girton-Roper measurement to study the monetary policies in Philippines. They found that a contractive monetary policy reduces exchange market pressure, while raising the interest rate increased exchange market pressure during the East Asian financial crisis. However, Weymark (1997) argued that the measurement derived by Girton and Roper derived is not accurate. Therefore, she defined a generalized exchange market pressure and proposed a model-independent method to measure it. We apply the two measurement of exchange market pressure to study the interaction between monetary policies of East Asian countries and the exchange market pressure. Following Gochoco-Bautista and Bautista (2005), we use VAR models to analyze East Asian countries. In addition, a GMM method with the panel data is also employed. We find evidence that a contractive monetary policy can reduce exchange market pressure. But after the East Asian financial crisis, an increase in interest rates worsens the depreciation in the domestic currency. In addition, the central banks of East Asian countries tend to expand the growth of domestic credit and/or raise interest rate to mitigate the increasing exchange market pressure.