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    Title: 亞洲央行干預外匯市場的有效性及對美國存託憑證價差的影響
    Authors: 張美菁
    Chang, Mei Ching
    Contributors: 張元晨
    張美菁
    Chang, Mei Ching
    Keywords: 央行干預
    金融風暴
    亞洲貨幣
    逆風而行
    匯率市場
    存託憑證
    折價
    溢價
    Central bank interventions
    Credit crisis
    Asian currencies
    Leaning-against-the-wind
    Foreign exchange market
    American Depositary Receipt
    discount
    premium
    Date: 2015
    Issue Date: 2015-07-14 10:37:46 (UTC+8)
    Abstract: 【第一篇論文中文摘要】
    本文使用路透社央行干預匯市的新聞報導,探討哪些因素可以提高亞洲央行成功干預匯市的機率,研究期間為2005年1月至2011年4月。此研究期間涵蓋全球金融風暴和美國採行量化寬鬆政策,因此,亞洲貨幣在逐步對美元升值後發生大幅度的貶值。研究結果顯示印尼、馬來西亞、菲律賓、新加坡、台灣及泰國的央行採取逆風而行的策略是有效的干預方式,而且多個國家在同日干預匯市及第一日的干預會有較高成功的機率。

    【第二篇論文中文摘要】
    本文透過不同的研究方法針對亞洲國家央行干預匯率市場的有效性再次驗證,研究期間為2005年1月至2011年4月,實證結果顯示亞洲國家在次貸風暴期間面臨美元升值的壓力,央行會採取賣美元的方式來干預匯市,但是這種干預匯市的方式卻僅能減緩美元升值的趨勢,其中以印尼盾、新加坡元、新台幣紛紛對美元貶值較為明顯,而在次貸風暴發生之後,美國實施量化寬鬆政策造成亞洲國家卻面臨美元貶值的壓力,各國央行改採買美元的方式來干預匯市,但是此種干預匯市的方式也只造成美元緩慢貶值的趨勢,其中印尼盾、馬來西亞令吉、新加坡元、韓圜、泰銖分別對美元升值的趨勢較為明顯,此現象反應亞洲央行干預匯市是採取逆風而行的策略,雖然能降低匯率的波動,但無法改變匯率的升貶值趨勢。

    【第三篇論文中文摘要】
    本研究是在探討印度、印尼、南韓、馬來西亞、新加坡、泰國及台灣央行透過干預匯率市場,對其國家的公司在美國發行存託憑證折溢價的影響,研究期間為2005年1月至2011年4月。研究結果顯示央行對匯市干預造成的變動,確實會影響到該國公司在美國發行的存託憑證產生折價的情形。另外,亞洲央行使用買美元干預匯市的作法會對該國公司在美國發行的存託憑證產生溢價,而央行透過賣美元干預匯市的作法會對該國公司在美國發行的存託憑證產生折價的影響,但是由於樣本資料的限制,其效果在統計上並不顯著。由公司層面的分析可以看出央行透過賣美元來干預匯市對其國家的公司在美國發行的存託憑證會有明顯產生折價的影響。
    【第一篇論文英文摘要】
    Using Reuters’ news reports on central bank interventions, we investigate the factors that increase the odds of intervention success by Asian central banks in the foreign exchange market from January 2005 to April 2011. This period coincides with the global credit crisis and quantitative easing policy, which have engendered a sharp depreciation followed by a gradual appreciation of Asian currencies. The results show that leaning-against-the-wind intervention strategies are effective in Indonesia, Malaysia, Philippines, Singapore, Taiwan, and Thailand. We also find that joint and first day interventions are associated with higher odds of effective intervention.

    【第二篇論文英文摘要】
    This paper examines the effectiveness of central bank interventions in the foreign exchange market from January 2005 to April 2011 in Asia. The results show that the central banks in Asia intervene in the foreign exchange markets by selling U.S. dollars to prevent severe depreciation of local currencies during the global credit crisis. However, central bankers can only slow down the trend of depreciation of local currencies against U.S. dollar. The currencies apparently depreciate against U.S. dollar in Indonesia, Singapore, and Taiwan. After the global credit crisis, Asian countries confront appreciations of local currencies due to the US quantitative easing policy. The central banks in Asia intervene by purchasing U.S. dollars in the foreign exchange market. Nevertheless, intervention strategies slowly reduce U.S. dollar depreciations. The foreign exchange rate apparently appreciate against U.S. dollar in India, Malaysia, Singapore, South Korea, and Thailand. Results show that Asian central banks adopt leaning-against-the-wind intervention strategies during the sample period. Their interventions in the foreign exchange market can only reduce fluctuations in the foreign exchange rate, but fail to reverse the trend of Asian exchange rates.

    【第三篇論文英文摘要】
    This paper examines whether Asian central bank interventions in the foreign exchange market affect the discount or premium of American Depositary Receipt (ADR) of Asian companies from January 2005 to April 2011. The sample consists of companies from Indian, Indonesia, South Korea, Malaysia, Singapore. Empirical results show that central bank interventions increase ADR discounts of companies in Asian countries. In addition, interventions by purchasing U.S. dollars result in higher ADR premiums, and the strategies of selling U.S. dollars affect ADR discounts. Though some of the empirical results are not statistically significant due to limited sample size, results based on individual firms show that selling USD interventions by Asian central banks have a significant impact on their ADR discounts.
    Reference: 【第一篇論文】
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    【第二篇論文】
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    Bordo, M. D., Humpage, O. F., and Schwartz, A. J., 2012b.The Federal Reserve as an Informed Foreign Exchange Trader: 1973-1995, International Journal and Central Banking, 8(1), 127-160.
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    Chen, S. S., 2011. Currency manipulation policy in emerging foreign exchange markets, National Taiwan University, working paper.
    Disyatat, P. and Galati, G., 2007. The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna, Journal of International Money and Finance, 26, 383-402.
    Domaç, I. and Mendoza, A., 2004. Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey, working Paper.
    Dominguez, K. M., 1998. Central bank intervention and exchange rate volatility, Journal of International Money and Finance, 17, 161-190.
    Dominguez, K. M., and Frankel, J. A., 1993. Does foreign exchange intervention work?Washington, DC:Institute for International Economics.
    Dominguez, K. M., Fatum, R., and Vacek, P., 2013. Do sales of foreign exchange reserves lead to currency appreciation? Journal of Money, Credit and Banking, vol. 45(5), 867-890.
    Engle, R. F. and Granger, C. W. J., 1987. Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251-276.
    Fatum, R. and Hutchison, M. M., 2002. ECB foreign exchange intervention and the EURO: Institutional framework, news, and intervention, Open economies review, 13, 413-425.
    Fatum, R. and Hutchison, M. M., 2003. Is sterilised foreign exchange intervention effective after all? An event study approach, The Economic Journal, 113, 390-411.
    Fatum, R. and Hutchison, M. M., 2006. Effectiveness of official daily foreign exchange market intervention operations in Japan, Journal of International Money and Finance, 25, 199-219.
    Fatum, R. and Hutchison, M. M., 2010. Evaluating foreign exchange market intervention: Self-selection, counterfactuals and average treatment effects, Journal of International Money and Finance, 29, 570-584.
    Fatum, R., 2008. Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data, Journal of International Money and Finance, 27, 438-454.
    Fischer, A. M., 2006. On the inadequacy of newswire reports for empirical research on foreign exchange interventions, Journal of International Money and Finance, 25, 1226-1240.
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    Hua, M. and Gau, Y., 2006. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market, Pacific-Basin Finance Journal, 14, 193-208.
    Humpage, Owen F., 1999. U.S. Intervention: Assessing the Probability of Success, Journal of Money, Credit and Banking, 31, 731-747.
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    Kearns, J. and Rigobon, R., 2005. Identifying the efficacy of central bank interventions: Evidence from Australia and Japan, Journal of International Economics, 66, 31-48.
    Kim, Minho, Szakmary, Andrew C., and Mathur, Ike, 2000. Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking & Finance, 24, 1359-1382.
    Mathur, I., Gleason, K. C., and Singh, M., 1998. Did markets react efficiently to the 1994 Mexican peso crisis? Evidence from Mexican ADRS, Journal of Multinational Financial Management, 8, 39-48.
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    Park, J., 2001. Information flows between non-deliverable forward(NDF)and spot markets: Evidence from Korean currency, Pacific-Basin Finance Journal , 9, 363–377.
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    Phillips, P. and Perron, P., 1988. Testing for a unit root in time series regression, Biometrica, 75, 335–346.
    Rincon, H., and Toro, J., 2010. Are capital controls and central bank intervention effective? Borradores de ECONOMIA Num. 625, Banco de la Republica, Colombia.
    Tapia, M. and Tokman, A., 2004. Effects of foreign exchange intervention under public information: The Chilean case, Economia, 4, 1-42.

    【第三篇論文】
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    Bernanke, B. S., 2010. Rebalancing the Global Recovery, Sixth European Central Bank Central Banking Conference Frankfurt, Germany.
    Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity, Jouarnal of Econometrics, 31, 307-327.
    Chang, Y. and Taylor, S. J., 1998. Intraday effects of foreign exchange intervention by the Bank of Japan, Journal of International Money and Finance, 17, 191-210.
    Chen, S. S., 2011. Currency manipulation policy in emerging foreign exchange markets, National Taiwan University, working paper.
    Disyatat, P. and Galati, G., 2007. The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna, Journal of International Money and Finance, 26, 383-402.
    Domaç, I. and Mendoza, A., 2004. Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey, working Paper.
    Dominguez, K. M., 1998. Central bank intervention and exchange rate volatility, Journal of International Money and Finance, 17, 161-190.
    Dominguez, K. M., and Frankel, J. A., 1993. Does foreign exchange intervention work?Washington, DC:Institute for International Economics.
    Engle, R. F. and Granger, C. W. J., 1987. Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251-276.
    Fatum, R. and Hutchison, M. M., 2002. ECB foreign exchange intervention and the EURO: Institutional framework, news, and intervention, Open economies review, 13, 413-425.
    Fischer, A. M., 2006. On the inadequacy of newswire reports for empirical research on foreign exchange interventions, Journal of International Money and Finance, 25, 1226-1240.
    Gagnon, L. and Karolyi, G. A., 2010. Multi-market trading and arbitrage, Journal of Financial Economics, 97, 53-80.
    Goral, A. and Sanchit A., 2010. The Indian exchange rate and central bank action:A GARCH analysis, Working paper.
    Grossmann, A., Ozuna, T., and Simpson, Marc W., 2007. ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation? Journal of International Financial Market, Institutions & Money, 17, 361-371.
    Hua, M. and Gau, Y., 2006. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market, Pacific-Basin Finance Journal, 14, 193-208.
    Johansen, S. and Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration—With applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169–210.
    Johansen, S., 1991. Estimation and hypothesis testing for cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551–1580.
    Kim, Minho, Szakmary, Andrew C., and Mathur, Ike, 2000. Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking & Finance, 24, 1359-1382.
    Mathur, I., Gleason, K. C., and Singh, M., 1998. Did markets react efficiently to the 1994 Mexican peso crisis? Evidence from Mexican ADRS, Journal of Multinational Financial Management, 8, 39-48.
    Menkhoff, L., 2012. Foreign exchange intervention in emerging markets: A survey of empirical studies, Working paper.
    Merton, Robert C., 1981. On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts, Journal of Business, 54, 363-406.
    Park, J., 2001. Information flows between non-deliverable forward(NDF)and spot markets: Evidence from Korean currency, Pacific-Basin Finance Journal , 9, 363–377.
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    Pattanaik, S. and Sahoo, S., 2003. The effectiveness of intervention in India: an empirical assessment, working paper.
    Phillips, P. and Perron, P., 1988. Testing for a unit root in time series regression, Biometrica, 75, 335–346.
    Suh, J., 2003. ADRs and U.S. market sentiment, The Journal of Investing, 12, 87–95.
    Tapia, M. and Tokman, A., 2004. Effects of foreign exchange intervention under public information: The Chilean case, Economia, 4, 1-42.
    Description: 博士
    國立政治大學
    財務管理研究所
    98357503
    103
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    Data Type: thesis
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