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1989 1992 1995 1998 2001 2004 2007 2010 -5.1

-5.0 -4.9 -4.8 -4.7 -4.6 -4.5

圖_6:新台幣名目有效匯率₍實線_{) vs.}新台幣實質有效匯率₍虛線₎

表5:考慮名目有效匯率衝擊

(1) (2) (3)

1989:M5–2012:M2 1989:M5–1998:M2 1998:M3–2012:M2

e_t^Q+ 0.112 0.206 0.096

(0.105) (0.156) (0.147)

e_t^Q− −0.352 −0.241 −0.535

(0.168)^∗∗ (0.227) (0.181)^∗∗∗

FXI_{t −1} 0.454 0.158 0.573

(0.094)^∗∗∗ (0.144) (0.080)^∗∗∗

Constant 0.125 −0.153 0.145

(0.113) (0.198) (0.138)

R¯² 0.206 0.007 0.349

χ²(β⁺₀ = β⁻₀) 4.073 1.843 5.276

p-value 0.044 0.175 0.022

註_:括弧內為標準差。^∗_,^∗∗以及^∗∗∗分別代表係數估計式具有_{10%, 5%}和_1%的顯著性。χ²為檢定不對稱干預(β₀⁺= β₀⁻)之檢定量, p-value為其p值。

現_,實證結果與我們的主要結果一致_: 央行在1989:M5–1998:M2並未顯著干預外匯市場_,而在₁₉₉₈年₃月之後_,我們發現央行「阻升不阻貶」的顯著證據。

8 結語

本文的目的在於檢視台灣央行是否在外匯市場執行不對稱干預政策。我們先以結構性自我向量迴歸 (SVAR) 模型認定出外生的結構性匯率衝擊 (structural exchange rate shock), 然後將其分解成升值衝擊 (appreciation shock)與貶值衝擊(depreciation shock),藉以進一步探討央行是否在外匯市場上採用不對稱的匯率干預政策。

我們檢視1989:M5–2012:M2的月資料。實證結果發現_,如果匯率干預

政策是為了因應實質匯率衝擊_,央行在₁₉₉₈年₃月前後的匯率干預政策有很大的不同。在₁₉₈₉年₅月到₁₉₉₈年₂月之間_,央行對於外匯市場的干預較小。反之,證據顯示在1998年₃月之後_,央行確有顯著的「阻升不阻貶」

之行為。而以全樣本期間1989:M5–2012M2的資料來看_,整體而言我們發現央行「阻升不阻貶」的實證證據。以上結論不因假設匯率干預政策是為了因應名目匯率衝擊而不同。

值得再次強調的是, 我們以迴歸模型來分析央行是否「阻升不阻貶」, 而迴歸分析所探討的是條件均數(conditional mean)的概念。因此_, 當我們做出「央行阻升不阻貶」的結論時, 並不代表字面上 (literally) 的意義_:

「央行在外匯市場只阻止升值_, 不阻止貶值」。相反的_, 當我們以迴歸分析發現「央行阻升不阻貶」時_,是指平均而言_,央行干預外匯市場(買賣外匯) 的「平均行為」顯著地受到新台幣升值衝擊影響,反之_,則代表該「平均行為」不會顯著地受到新台幣貶值衝擊影響。此外_, 本文的目的在於透過實證分析(positive analysis)檢視央行是否「阻升不阻貶」,但是並不意圖給予此政策規範分析(normative analysis)。

最後_, 由於台灣央行並未公佈匯市干預之歷史資料。在無法取得實際干預資料的情況下_,我們只能遵循目前我們所知文獻中最好的做法_,利用已剔除匯率變動因素的「準備貨幣增減因素_—國外資產」來作為央行干預的替代變數。基於資料的侷限性,我們必須提醒讀者小心地詮釋本文的實証結果。我們要在此呼應陳旭昇與吳聰敏₍₂₀₀₈₎的建議以及黃惠君等 (2012)的「部分」建議,¹⁹期待央行能夠公布歷史干預資料。

19由於黃惠君等₍₂₀₁₂₎的作者中包含央行官員₍黃慧君與汪建南_),是故對此建議有「不同意見表達」。

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根據黃惠君等(2012)結論中的「不同意見表達」,作者首先洋洋灑灑地引用一堆國外學者研究(Vitale, 1999, p. 247), (Neely, 2001, p. 7), (Ferré and Manzano, 2009, p. 379 and 387),認為「央行匯率政策有多元性考量, 常不宜揭露干預資訊,且揭露可能會影響市場預期」。但是這樣的說詞顯然是在混淆視聽_,因為過去文獻如₍陳旭昇與吳聰敏_{, 2008,}頁₁₇₆₎是在呼籲央行公佈外匯市場干預的「歷史資料」,而非要求央行公布其「近期,即期或未來」明確的干預目標值或是操作狀況等干預資料。經我們仔細閱讀作者所提及的文獻,我們並不曾在上述那些研究中讀到任何論點主張央行不該公布外匯市場干預的「歷史資料」。事實上_, 黃惠君等₍₂₀₁₂₎引用了 Sarno and Taylor (2001)的說明_,強調央行是否應該採取秘密干預₍亦即不公布即期干預目標值或是操作狀況等干預資料), 在文獻上存在正反兩面意見_,然而_,黃惠君等₍₂₀₁₂₎卻忽略了Sarno and Taylor (2001)亦提及央行不願公布干預歷史資料的行為令人難以理解:

“While arguments may exist in favor of the secrecy of official intervention, it is unclear why central banks have not been in-terested for a long time in releasing data to researchers ex post,”

— (Sarno and Taylor, 2001, p. 851)

再者, 作者又說, 「用歷史干預資訊評估匯率政策, 因管理浮動匯率政策的多元性考量_, 不易公允掌握其複雜隱密的動機。」這樣的說法也令人費解。事實上,我們對於央行有何「複雜隱密的動機」不感興趣_,從學術研究的角度來看_,我們感興趣的是諸如「央行的匯率干預政策是否有效_?」「央行是否阻升不阻貶_?」_,「央行干預政策的利得₍或損失₎有多高_?」等實事求是之問題。因此,透過公布干預的「歷史資料」,可以讓學者掌握更多資訊來探討這些議題。

基本上_,如果是近期資料,或許為了維持干預政策之有效性,或是避免影響市場預期_, 央行不便公布相關資訊_,這可以體諒_;但是一如_{Sarno and}

Taylor (2001)的質疑_,我們無法理解為何台灣央行不願公布外匯買賣的歷

史資料。事實上,不侷限於先進國家,世界上有許多國家(包含開發中國家) 的央行已經公布外匯干預的歷史資料_,舉例來說_,如澳洲_,瑞士_,德國_,義大利_,日本_,墨西哥,土耳其以及美國等國家, 都公布該國外匯市場干預的歷

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史資料,而這些資料也都可以輕易地在美國聖路易斯FED的研究部門網站(Federal Reserve Economic Data, FRED)取得。公布這些歷史資料_, 顯然沒有為這些國家帶來任何明顯的危害。因此_,我們依然要不厭其煩地呼籲央行能夠公布外匯干預買賣的歷史資料,俾利學術界對於新台幣匯率動態以及央行匯率政策之研究。

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投稿日期_{: 2012}年₆月₅日_,接受日期_{: 2012}年₁₁月₁日

Does the Central Bank of Taiwan Intervene in the Foreign

Ex hange Market Asymmetri ally?

Shiu-ShengChen

Department of Economics, National Taiwan University

This paper investigates whether the Central Bank of the Republic of China (Taiwan) intervenes in the foreign exchange market asymmetrically. Af-ter identifying the structural exchange rate shocks using a structural VAR model, we decompose the exchange rate shocks into positive shocks (depre-ciation shocks) and negative shocks (appre(depre-ciation shocks). We then examine whether depreciation and appreciation shocks have asymmetric effects on of-ficial intervention in the foreign exchange market. We confirm the existence of an asymmetry in central bank foreign exchange intervention responses to currency appreciations versus depreciations in Taiwan.

Keywords:asymmetric intervention, central bank.

JEL lassi ation:F31; E58

在文檔中 Does the Central Bank of Taiwan Intervene in the Foreign Exchange Market Asymmetrically? (頁 21-27)