淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1506201201262300
中文論文名稱 土耳其央行干預有效性之分析
英文論文名稱 The effectiveness of Turkish intervention in the lira/dollar exchange market
校院名稱 淡江大學
系所名稱(中) 經濟學系碩士班
系所名稱(英) Department of Economics
學年度 100
學期 2
出版年 101
研究生中文姓名 林佳穎
研究生英文姓名 Chia-Ying Lin
學號 699570015
學位類別 碩士
語文別 中文
口試日期 2012-06-01
論文頁數 36頁
口試委員 指導教授-萬哲鈺
委員-陳思寬
委員-柯大衛
中文關鍵字 異質行為交易者  央行干預  外匯市場  噪音交易管道  整合管道 
英文關鍵字 Heterogeneous agents  Central bank intervention  Foreign exchange market  Noise trading channel  Coordination channel 
學科別分類 學科別社會科學經濟學
中文摘要 本文利用非線性異質交易者模型,分析異質交易行為是否存在於美元兌里拉外匯市場,以及土耳其中央銀行是否可以經由影響市場參與者行為,並透過Hung (1997) 噪音交易管道以及 Reitz and Taylor (2008) 整合管道,達到其干預外匯市場的目標。
實證結果顯示,雖然基本分析者參與市場的意願和信心程度會隨實際匯率偏離均衡水準的程度擴大而下降,但透過央行干預的作用,可以提高基本分析者參與市場的意願,且此意願會隨著干預強度提高而上升,達到央行扭轉匯率走勢以及干預之目標。至於反向操作者參與市場的意願,也會隨實際匯率變化程度擴大而上升,同時透過央行干預也會加強反向操作者參與市場的意願。整體而言,統計分析指出異質交易行為者存在於新興國家土耳其的外匯市場,且央行可以透過噪音交易管道和整合管道來達到干預之目的。
英文摘要 A nonlinear heterogeneous agent model is applied to the lira/dollar exchange rate market to discuss the channels of an effective central bank intervention. The existence of two hypothetical channels proposed by Hung (1997) and Reitz and Taylor (2008) are tested and confirmed.
Evidence shows heterogeneous agents are active in the lira/dollar market where the stabilizing force from the fundamentalists declines in large misalignments. Central bank can achieve the aim of the intervention through the noise trading channel and coordination channel. Central bank intervention is effective in arousing the trend-reversing sentiment among chartists to prevent market from explosion. The intervention is also effective in strengthening fundamentalists’ confidence that the market will move toward its theoretical equilibrium.
論文目次 目錄

第一章 緒論 1
第一節 研究動機 1
第二節 文章架構 4
第二章 文獻回顧 5
第一節 國外文獻 8
第二節 國內文獻 11
第三章 實證方法 13
第四章 資料與實證結果分析 22
第一節 資料來源以及干預資料的處理方式 22
第二節 實證結果的分析與說明 23
第五章 結論 30
參考文獻 32
英文部分 32
中文部分 36
參考文獻 英文部分

Akinici Ozge, Culha Olcay Yucel, Ozlale Umit, and Şahinbeyoğlu Gulbin (2005), “Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy,” Research and Monetary Policy Department, Central Bank of the Republic of Turkey working paper, No. 0505.

Baillie, R.T. and Osterberg, W. (1997), “Why do central banks intervene?,” Journal of International Money and Finance, 16, 090-919.

Balazs Egert and Maroje Lang (2005), “Foreign Exchange Interventions in Croatia and Turkey: Should We Give a Damn?,” William Davidson Institute Working Paper, No. 755.

Beine M., Benassy-Quere A. , and Lecourt C. (2002), “Central bank intervention and foreign exchange rate: new evidence from FIGARCH extimations,” Journal of International Money and Finance, vol.21, Issue 1, 115-144.

Calvo , G.A. and Reinhart C.M. (2002), “Fear of floating,” Quarterly Journal of Economics, 117, 379-408.

DeBondt, W. and Thaler, R. (1985), “Does the stock market overreact?, ” The Journal of Finance, 40, 793-805.

Domingues, K.M. (1998), “Central Bank Intervention and the Exchange Rate Volatility, ”Journal of International Money and Finance, 17, 161-190.

Dominguez, K.M. and Frankel, J.A. (1993b), “Does Foreign Exchange Intervention Matter ? The Portfolio Effect, ” American Economic Review, 83, 1356-1369.

Dutta, Jayasri and Leon Hyginus (2002), “Eread of depreciation: Measuring real exchange rate interventions,” IMF Working Paper, No. 63.
Eijffinger, S.C.W. and Gruijters N.P.D. (1991a), “On the Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the US Dollar/Deutsche Mark Exchange Market, ” Kredit und apital, 24, 50-72.

Eijffinger, S.C.W. and Gruijters N.P.D. (1991b), “On the Effectiveness of Daily Interventions by the Deutsche Bundesbank and the Federal Reserve System in US Dollar/Deutsche Mark Exchange Market, ” in E. Baltensperger and H.W.

Fatum, R. and Hutchison, M. (2003), “Is foreign exchange intervention effective after all ? An event study approach, ” The Economic Journal, 113, 390-411.

Frankel, J.A. (1982), “In Search of the Exchange Risk Premium: A Six-Currency Test Assuming Mean-Variance Optimization, ” Journal of International Money and Finance, 1, 255-274.

Frankel, J.A. and Engel C.M. (1984), “Do Asset Demand Functions Optimize over the Mean and Variance of Real Returns? : A Six-Currency Test, ” Journal of International Economics, 17, 309-323.

Ghosh, Atish R. (1992), “Is it Signaling ? Exchange Intervention and the Dollar-Deutschemark Rate, ” Journal of International Economics, 32,201-220

Granger, C. and Terasvirta, T. (1993), Modeling Nonlinear Economic Relationships, Oxford University Press, Oxford.

Guimaraes Roberto F. and Karacadag Cem (2004), “The Empirics of Foreign Exchange Intervention in Emerging Market Countries: The Cases of Mexico and Turkey,” IMF working Paper, WP/04/123.

Gulcay Tuna (2011), “The effectiveness of Central Bank intervention: evidence from Turkey,” Applied Economics, 43, 1801-1815.

Humpage, O. (1989), “On the Effectiveness of Exchange-Market Intervention, ” Unpublished paper, Federal Reserve Bank of Cleveland, June.
Hung, J.H. (1991a), “Noise trading and the effectiveness of sterilized foreign exchange intervention, ” FRBNY Research Paper, No. 91111.

Hung, J.H. (1991b), “The effectiveness of sterilized US foreign exchange intervention : an empirical study based on the noise trading approach, ” FRBNY Research Paper, No. 91118.

Hung, J.H. (1997), “Intervention Strategies and Exchange Rate Volatility: A Noise Trading Perspective,” Journal of International Money and Finance, 16, 779-793.

Kao Chung-Wei and Wan Jer-Yuh (2012), “Heterogeneous Behaviours and the Effectiveness of Central Bank Intervention in the Yen/Dollar Exchange Market,” Applied Financial Economics, 22, 967-975.

Loopesko, B. (1984), “Relationships Among Exchange Rates, Intervention and Interest Rates, ” Journal of International Money and Finance, 3, 257-277.

Mussa, M. (1981), “The Role of Official Intervention, ” Group of Thirty, New York.

Mussa, M. (1981), The Role of Official Intervention, New York: Gropu of Thirty.

Obstfeld, M. (1982), “Can We Sterilize ? Theory and Evidence, ” American Economic Review Papers and Proceedings, 72, 45-50.

Reitz S. and Taylor M.P. (2008), “The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis,” European Economic Review, 52, 55-76.

Reitz, S. (2005), “Central bank intervention and heterogeneous exchange rate expectations: evidence from the daily DEM/US-dollar exchange rate, ” Open Economies Review, 16, 33-50.

Sarno, L. and Taylor M.P. (2001), “Official Intervention in the Foreign Exchange Market: is It Effective and , If So, How Does It Work?,” Journal of Economic Literature Papers, 39, 839-868.
Sarno, L. and Taylor M.P. (2003) The Economics of Exchange Rates. Cambridge and New York: Cambridge University Press.

Shleifer, A. and Vishny, R. (1997), “The limits of arbitrage, ” The Journal of Finance, 52, 35-55.

Shogo Ishii, Jorge Ivan Canales-Krilijenko, Roberto Guimaraes, and Cem Karacadag (2006), “Official Foreign Exchange Intervention,” International Monetary Fund, occasional paper, No. 249.

Taylor, M.P. (1994), Exchange Rate Behavior under Alternative Exchange Rate Regimes. In: Kenen, P. (Ed.), Understanding Interdependence: The Macroeconomics of the Open Economy. Princeton University Press, Princeton.

Taylor, M.P. (1995), “The economics of exchange rates,” Journal of Economic Literature, 33, 13-47

Taylor, M.P. (2004), “Is Official Exchange Rate Intervention Effective?,” Economica, 71, 1-11.

Taylor, M.P. (2005), “Official Foreign Exchange Intervention as a Coordinating Signal in the Dollar-Yen Market,” Pacific Economic Review, 10, 73-82.

Terasvirta, T. (1994), “Specification, estimation, and evaluation of smooth transition autoregressive models, ” Journal of the American Statistical Association, 89, 208-218.

Wan Jer-Yuh and Kao Chung-Wei (2009), ”Evidence on the contrarian trading in foreign exchange markets,” Economic Modelling, 26, 1420-1431.

Westerhoff, F.H. and Reitz S. (2003), “Nonlinearities and cyclical behavior: the role of chartists and fundamentalists,” Studies in Nonlinear Dynamics & Econometrics, 28, vol.7, Issue 4, Article 3.


中文部分

俞海琴 (1986),「我國央行干預行為之分析」,台灣大學工商管理研究所碩士論文。

汪子遷 (1995),「亞太七國央行干預匯市行為與研究效果」,台灣大學經濟學研究所碩士論文。

吳宜勳 (1999),「公開訊息對我國即期及遠期外匯市場的影響」,中正大學財務金融學研究所碩士論文。

萬哲鈺 (2000),「中央銀行台北外匯市場干預行為分析」,台灣經濟學會論文集抽印本。

廖乃儀 (2000),「中央銀行台北外匯市場干預行為分析」,淡江大學產業經濟學研究所碩士論文。

林珈慧 (2002),「匯率制度、資本移動性對貨幣與財政政策有效性的影響」,台灣大學國際企業學研究所碩士論文。

趙尊彬 (2002),「中央銀行干預政策對外匯市場干預指標的影響」,中原大學國際貿易學系碩士論文。

錡淑美 (2005),「匯價波動外溢效果與央行匯市干預之分析」,淡江大學經濟學系研究所碩士論文。

林儀君 (2006),「干預、沖銷、貨幣控制-東亞實證分析」,中山大學經濟學研究所碩士論文。

蔡嫚書 (2006),「中央銀行外匯干預行為之研究」,東吳大學國際貿易學碩士論文。

萬哲鈺 (2006),「國際金融」,四版,台北:雙葉書廊。
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2012-06-29公開。
  • 同意授權瀏覽/列印電子全文服務,於2012-06-29起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信