本研究之主要目的為透過媒體資料以了解台灣中央銀行在外匯市 場的偏好行為, 進而分析其外匯市場干預行為對每日美元兌新台幣 匯率的影響。實證結果指出在2000/01/04–2012/12/28的樣本期間 內, 當新台幣升值時央行進場執行逆風干預的頻率顯著地比貶值時 高, 也就是說相對於阻貶而言, 台灣央行有偏好阻升的現象。然而, 探究央行干預對匯率變化的影響後,本文發現央行偏好的阻升干預 對匯率變化的影響非常有限,反而是阻貶對匯率變化有顯著的影響, 且阻貶干預對匯率變化影響明顯比阻升大。另一方面, 台灣央行宣 稱其干預的目的是為了減少匯率波動,本文研究結果發現央行逆風 干預對匯率變化的波動無顯著的影響,因此台灣央行的外匯市場干 預是否可以有效地減少匯率波動仍有待進一步的評估。

In this study, we use press reports to construct a proxy variable of the foreign exchange intervention of the Central Bank of the Republic of China (Taiwan) (hereafter, the CBC) and analyze the CBC's preference for foreign exchange interventions. The statistical results show that the CBC adopts the ‘leaning-against-the-wind’ policy and intervenes in the foreign exchange rate market more often when the New Taiwanese dollar (NTD) appreciates than when the NTD depreciates. Nevertheless, the empirical result shows that the against-NTD-depreciation interventions leads to significant changes in the exchange rate, but not the against-NTD-appreciation interventions. Moreover, the effect on the exchange rate change of the against-NTD-depreciation interventions is larger than the against-NTD-appreciation interventions, which implies that the CBC’s intervention policy has asymmetric effects on the exchange rate change. Lastly, we find that the CBC’s foreign exchange interventions have no significant effect on the volatility of exchange rate change.