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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54305


    Title: 外資證券投資、央行干預和外匯市場的關連性分析： 以台灣、南韓、印度和菲律賓為例
    The analysis of correlation among securities investment from foreigners, central bank intervention and foreign exchange market : take Taiwan, South Korea, India and Philippines as the examples
    Authors: 林佳瑜
    Contributors: 張元晨
    林佳瑜
    Keywords: 外資
    央行干預
    外匯市場
    Date: 2011
    Issue Date: 2012-10-30 10:41:54 (UTC+8)
    Abstract: 隨著全球化的趨勢，金融自由化的浪潮席捲全球金融體系，解除資本管制為世界潮流，然而對於小型開放的經濟體，特別是以出口為導向的國家而言，為了維持出口競爭力的優勢，央行干預外匯市場已成為一種經常性政策，因此本研究根據外資在股票市場淨買超金額、各幣別兌美元匯率及路透社關於台灣、南韓、印度與菲律賓央行干預匯市報導等資料，藉由向量自我迴歸模型等方法進行實證分析。實證研究顯示本幣匯率貶值幅度對央行干預、外資淨買超皆呈顯著負向影響，表示當本幣匯率貶值幅度上升(下降)，該國貨幣貶值(升值)時，在市場上可觀察到央行進行阻升(阻貶)的動作以及出現質疑央行阻升(阻貶)的訊息，同時，外資也會因而退出(進入)股市。除了菲律賓外，在台灣、南韓和印度，外資於股票市場淨買超增加對本幣匯率貶值幅度的影響效果皆落後三日，才反向顯著地影響本幣匯率貶值幅度，表示資本移入的增加會導致外匯供給增加，進而使該國匯率升值。對台灣與南韓而言，市場確定央行干預報導雖正向影響本幣匯率貶值幅度，即央行阻升(阻貶)行為，能讓該國匯率貶值(升值)，但並不顯著；而市場質疑央行干預報導則顯著正向影響其本幣匯率貶值幅度。而菲律賓則為市場確定央行干預報導顯著正向影響其本幣匯率貶值幅度；市場質疑央行干預報導正向影響但不顯著。在印度，市場確定央行干預報導反向影響，而市場質疑央行干預報導正向影響本幣匯率貶值幅度，但皆不顯著。
    Reference: 1. 吳中書（1999），「台灣匯率與資本移動關聯性之探討」中央銀行季刊第二十一卷第二期，48-63頁。
    2. 施乃禎(2010)，「由央行干預新聞探討央行干預對匯率之影響」國立政治大學金融研究所碩士論文。
    3. 徐魁君(2002)，「外資、匯率、利率及臺灣股價之關聯與波動性研究-GARCH-VEC模型之應用」國立台北大學合作經濟學研究所碩士論文。
    4. 徐文軒(2009)，「股匯市相關性與央行干預行為之探討」國立中正大學財務金融研究所碩士論文。
    5. 許佳琦(2010)，「美國次貸風暴下台灣股匯市及外資變動之相關性研究」世新大學財務金融學研究所碩士論文。
    6. 趙尊彬(2002)，「中央銀行干預政策對外匯市場干預指標的影響」中原大學國際貿易研究所碩士論文。
    7. 趙蓓琪(2011) ，「資本移動、外匯干預與匯率失調」逢甲大學經濟學研究所碩士論文。
    8. 蔡美珠(2003) ，「匯率與資本移動長期關係之研究及短期衝擊反應-台灣實證分析」東吳大學經濟學研究所碩士論文。
    9. 錢怡合(2010)，「外國機構投資人和外匯市場：以臺北外匯交易市場為例」國立中央大學財務金融研究所碩士論文。
    10. Athukorala, P. (2003), “Product fragmentation and trade patterns in East Asia, ” Trade and Development Discussion Paper
    11. Branson, W.H.; H. Halttunen and P. Masson (1977), “Exchange Rate in the Short Run: the Dollar-Deutschemark Rate,” European Economic Review,10, P303
    12. Bakardzhieva, D. and S.B. Naceur and B. Kamar (2010), “The Impact of Capital and Foreign Exchange Flows on the Competitiveness of Developing Countries,” IMF Working Paper , No. 10/154.
    13. Bakardzhieva, Naceur, and Kamar(2010), “The Impact of Capital and Foreign Exchange Flows on the Competitiveness of Developing Countries, ” IMF Working Paper
    14. Dominguez (1998), “Central Bank Intervention and Exchange Rate Volatility,”
    Journal of International Money and Finance, 17, P161
    15. Edwards, S.(1991), “Real and Nominal Determinants of Real Exchange Rates：The Empirical Evidence in Real Exchange Rates, Devaluation, and Adjustment Exchange Rate Policy in Developing Countries,” Chapter5,9 No.128
    16. Fleming,J.Marcus(1962), “Domestic Financial Policies under Fixed and under Floating Exchange Rates, ”IMF Staff Papers 9 No.369
    17. Siourounis, G. (2003), “Capital Flows and Exchange Rates: An Empirical Analysis,” London Business School IFA Working Paper, No. 400
    18. Paper, London Business School.
    19. Johansen, S. (1988), “Statistical Analysis of Cointegrating Vectors ”Journal of Economic Dynamics and Control, 12, P231
    20. Jongwanich, Juthathip (2010), “Capital Flows and Real Exchange Rates in Emerging Asian Countries,” ADB Economics Working Paper Series , No.210
    21. Loopesko, B. E. (1984), “Relationships among exchange rates, intervention, and interest rates: An empirical investigation.” Journal of International Money and Finance ,3(3),P257
    22. Meade,J.E.(1951), “The Theory of International Economic Policy. Volume I: The
    Balance of Payments. London: Macmillan”
    23. Mundell, Robert A. (1963) “Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Exchange Rates,”Canada J.Econ. and Polit. Sci.29 No.475
    24. Mussa, M. L. (1981), “The role of official intervention.Group of Thirty Occasional Papers.”
    25. MacDonald, R.(1995), “Long-Run Exchange Rate Modeling：A Survey of the Recent Evidence,” IMF Working Paper
    26. Rasmus Fatum and Michael M. Hutchison(2003), “Is Sterilized Foreign Exchange Intervention Effective After All? An Event Study Approach”
    27. Rasmus Fatum(2005), “Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data,” Sccie Working Paper
    28. Rasmus Fatum and Michael M. Hutchison(2002), “ECB Foreign Exchange Intervention and the EURO: Institutional Framework,News, and Intervention.”
    Description: 碩士
    國立政治大學
    財務管理研究所
    99357008
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099357008
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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