貨幣政策與外匯干預對匯率的影響

Abstract

這篇文章討論與貨幣政策、外匯干預及匯率有關的兩個議題。第一個議題是外匯干預對匯率水準與匯率波動程度的影響，第二個議題是貨幣政策在有外匯干預及沒有外匯干預時的效果。我們使用結構性向量自我回歸(Structural vector-autoregression)模型來探討貨幣政策與外匯干預的關係，且在模型中放進了「央行持有國外資產變動」以測量干預的效果。我們另外採用GARCH模型來估計外匯干預對匯率波動程度的影響，且利用SVAR模型模擬貨幣政策在有外匯干預與沒有外匯干預時的效果。我們發現台灣外匯干預對匯率有顯著的影響：當一個正的外匯干預衝擊出現後，匯率會上升，台幣貶值，而這個效果主要是透過利率管道與Signaling管道來影響匯率。結果也顯示，當出現一個緊縮的貨幣政策衝擊後，匯率會在短期內就下降，但是幾個月之後會回到原始的水準，且這個匯率的反應在沒有外匯干預的時後幅度更大。最後我們發現，外匯干預可以在大部分的時候降低外匯干預，然而在經濟環境有巨大改變的時候，干預就反而會增加匯率的波動程度。

This dissertation explores two issues regarding the relationships between monetary policy, foreign exchange intervention, and the exchange rate. The first is the effect of foreign exchange intervention on the level and the volatility of the exchange rate. The second issue is the effect of monetary policy with and without foreign exchange intervention. To investigate the relationship between monetary policy and foreign exchange intervention, a Structural vector-autoregression (SVAR) model is used which includes the variable of changes in the central bank’s foreign asset to measure the intervention effect. A GARCH model is also employed to estimate the effect of foreign exchange intervention on the exchange rate volatility. To understand the effect of monetary policy with and without foreign exchange intervention, counterfactual simulations are conducted based on the SVAR model. We find that the effect of foreign exchange intervention on the exchange rate is significant and substantial in Taiwan. The exchange rate rises in response to a positive foreign exchange intervention shock, and we find evidence for both of the interest rate channel and the signaling channel of the intervention effect. Results also show that, in response to contractionary monetary policy, the exchange rate falls sharply on impact and returns to the original level in a few months. Moreover, the response of exchange rate is more substantial without foreign exchange intervention. We also find that foreign exchange intervention can lower the volatility of the exchange rate in most of the time periods. However, in episodes of drastic changes in the economic environment, interventions tend to increase the volatility of the exchange rate.