QFII制度取消前後匯率波動與管理效益分析

Abstract

近來政府規劃打造臺灣成為「亞太資產管理中心」，如果吸引海外資金回臺策略奏效，吸引大量海外資金回臺將對新台幣匯率穩定產生衝擊，而此時中央銀行的管理操作能力即相當關鍵。我國在2003年10月取消QFII制度，外匯交易量大增。然而過去並未見到針對此一外資管理制度重大變革對匯率波動性所造成影響的相關研究。本研究希望就取消QFII制度對於匯率波動幅度的影響和差異進行分析，並對中央銀行外匯管理的效益分析。 本研究採用1999年至2008年之新台幣/美元之匯率資料，以EGARCH和GARCH模型估計QFII制度於2003年10月取消前後的匯率變動率的波動性差異。再者，本文採用外匯未實現損益的估計模型來估算中央銀行同一時期，對於外匯管理的利潤/損失。 研究結果發現，新台幣匯率變動率之時間序列有顯著的波動聚集的現象，也就是存在ARCH效果；而台幣貶值所造成的匯率波動仍比台幣升值所造成的匯率波動大，顯示其有不對稱效果。再者，不論是用EGARCH或GARCH模型，均發現代表QFII制度取消的虛擬變數其係數估計值顯著為負，表示2003年10月QFII制度取消後，匯率波動顯著下降。亦即QFII制度取消，雖然使得外資可以自由投入國內資本市場，並造成外匯市場交易量大增，但是其對於匯率波動幅度卻反而是下降。同時，本文也發現在QFII匯率取消後，中央銀行藉由國內外利差結構累積大量的隱含收益。 綜上，QFII制度取消後，外匯交易量大增，但新台幣匯率波動幅度下降，中央銀行在外匯操作上亦未受損失。因此，政府於研擬提升金融機構資產管理業務及促進金融國際化之政策時，可減少對於外匯波動的疑慮，而採取較為積極的態度。

The government recently plans to build Taiwan as Asian Asset Management Center. Attracting the overseas funds to invest in Taiwan is the cornerstone to develop asset management. If this strategy works, there will be huge amount of overseas funds flowing into Taiwan and will cause great impact on the NTD foreign exchange rate volatility, then the capability of the central bank to stabilize the NTD foreign exchange rate is very crucial. QFII was abolished in 2003 October that caused a large number of foreign exchange trading volume. However, there is no previous study focused on analyzing the influence of the reform of foreign funds management system on the NTD foreign exchange rate volatility. This thesis aims to investigate the difference on the NTD foreign exchange rate volatility between before and after the abolishment of QFII and estimate the capability of central bank in the foreign exchange market during the same period. This thesis uses the data of NTD/USD foreign exchange rate from 1999 to 2008 to analyze the difference in the NTD foreign exchange rate volatility before and after the abolishment of QFII by EGARCH and GARCH models. In addition, this thesis also estimates the profitability of central bank intervention in the foreign exchange market during the same period. The results illustrate that the volatility of NTD foreign exchange rate reveals significant clustering property, known as “ARCH effect”. The existence of significant asymmetric effect of the volatility of NTD foreign exchange rate shows that the impacts on the volatility of NTD foreign exchange rate affected by bad news (depreciation) are larger than the same magnitude of good news (appreciation). Furthermore, the estimates of QFII abolishment dummy variable are both significantly negative in EGARCH and GARCH models. The abolishment of QFII enables foreign investors to invest in Taiwan capital market which causes the trade volume of NTD foreign exchange increased. However, it did not aggravate the volatility of NTD foreign exchange rate after the abolishment of QFII in 2003 October. Moreover, this thesis also found a huge unrealized profit from official intervention during the same period in 1999–2008. After the abolishment of QFII in 2003 October, the trade volume of NTD foreign exchange increased while the volatility of NTD foreign exchange rate decreased. In the same time, the central bank did not have losses in foreign exchange market. It dispels the doubts about the volatility of NTD foreign exchange rate when the government frames the policies and measures to boost asset management and to enhance the globalization of Taiwan financial industry. The government could have more positive attitude toward that.