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系統識別號 U0002-2606200623185800
中文論文名稱 沖銷成本與匯率波動
英文論文名稱 Sterilization cost and exchange rate fluctuation
校院名稱 淡江大學
系所名稱(中) 國際貿易學系國際企業學碩士班
系所名稱(英) Department of International Trade
學年度 94
學期 2
出版年 95
研究生中文姓名 王敏如
研究生英文姓名 Min-Ju Wang
學號 693480823
學位類別 碩士
語文別 中文
口試日期 2006-06-09
論文頁數 41頁
口試委員 指導教授-賈昭南
委員-李選卿
委員-吳秀玲
中文關鍵字 沖銷成本  準財政成本  外匯  管理浮動匯率  干預 
英文關鍵字 sterilization cost  quasi-fiscal cost  foreign exchange  managed floating exchange rate  intervention 
學科別分類 學科別社會科學商學
中文摘要 當熱錢大量移動之際,中央銀行可以採取沖銷式的干預,同時達成穩定匯率與國內金融情勢的目標,當中央銀行採行沖銷式干預外匯市場時,必須付出利息成本,此一代價往往成為開發中國家中央銀行決定是否繼續干預的重要因素。
故本文採用與Kletzer和Spiegel(2004)相同的實證方程式,對台灣地區1981年第一季至2005年第一季這段期間的樣本資料進行實證估計,探討沖銷成本是否為影響新台幣對美元匯率的重要因素。實證結果發現匯率隨沖銷成本增加而上升,而上升的幅度則快速縮小。對於這種快速上升特徵的合理解釋,與管理式浮動匯率制度的基本精神不謀而合。




英文摘要 When the rapid movements of hot money, central banks can take sterilized intervention to stabilize the exchange rate and domestic financial condition simultaneously. However, sterilized intervention cost the central bank in addition to the loss in interest earnings. When central bank cannot afford to these costs, it will abandon the fixed exchange rates targeting. This essay applies empirical model suggested in Kletzer and Spiegel (2004) to estimate the effects to sterilization costs on the changes in the exchange rates for Taiwan using seasonal data covering the period from 1981 to 2005. The estimated result shows that increased sterilization costs have caused rapid change in the exchange rate movements to which the managed floating exchange rate system is embedded.

論文目次 目錄 ……………………………………………………………… Ⅰ
圖表目錄 ………………………………………………………… Ⅱ

第一章 緒論 ………………………………………………1

第一節 背景介紹 …………………………………………… 1
第二節 研究動機和目的……………………………………… 6
第三節 研究內容 ……………………………………………… 9

第二章 文獻探討 ………………………………………………10

第一節 政府干預有效性的探討……………………………… 10
第二節 有關沖銷成本的探討………………………………… 16

第三章 KS沖銷成本模型………………………………………21

第一節 資產組合貨幣學說的基本架構……………………… 21
第二節 中央銀行的決策問題設定…………………………… 24
第三節 KS沖銷成本模型的最適解與實證方程式…………… 27

第四章 實證估計與結果…………………………………………30

第一節 資料來源與處理過程………………………………… 30
第二節 實證研究方法………………………………………… 32
第三節 估計結果……………………………………………… 34

第五章 結論……………………………………………………37

參考文獻 ………………………………………………………… 39

表目錄
表一 原始變數資料來源………………………………………………… 30
表二 各變數資料來源…………………………………………………… 31
表三 各變數資本統計資料……………………………………………… 31
表四 實證估計結果……………………………………………………… 36


圖目錄
圖(一) 淨流入與匯率走勢………………………………………………… 3
圖(二) 外匯存底與匯率走勢……………………………………………… 3
參考文獻 參考文獻
第一部份 中文部分
1.賈昭南(2002),「國際金融實務與理論」,華泰書局。
2.時衛幹(2005),「對中央銀行干預操作成本的研究」,經濟發展論壇工作論文。
3.黃台心(2005),「計量經濟學」,雙葉書廊。
4..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。
第二部份 英文文獻
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Buiter, W.H.(1987),“Borrowing to defend the exchange rate and the timing and magnitude of speculative attacks,” Journal of International Economics ,
23(3/4) , 221-239.
Branson, William H. (1993), “Macroeconomic Determinants of Real Exchange Risk,” in Managing Foreign Exchange Risk. Richard J. Herring , ed. Cambridge : Cambridge U. Press.
Cumby, Robert and Maurice Obstfeld(1983),“Capital Mobility and the Scope for
Sterilization: Mexico in the 70’s,” in Financial Policies and the World Capital Market: the Problem of Latin American Countries, Pedro Aspe , Rudiger Dornbusch and Maurice Obstfeld , editors.
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Rates,” The Journal of Political Economy , Volume 94 , Issue 6 , December.
Calvo, Guillermo A., Leonardo Leiderman , and Carmen Reinhart(1993),“Capital Inflows and Real Exchange Rate Appreciation in Latin America. The Role of External Factors,” IMF Staff Papers , Vol. 40.
Calvo, G.A., Leiderman , L., Reinhart, C.M.(1993), “Capital inflows and real
exchange rate appreciation in Latin America: The role of external factors,”
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Calvo, G.A., Leiderman , L., Reinhart, C.M.(1996),“Inflows of capital to developing countries in the1990s,.” Journal of Economic Perspectives ,10 (2) , 123–139.
Dooley, Michael and Peter Isard(1983),“The Portfolio-Balance Model of Exchange Rate and Some Structural Estimates of the Risk Premium, ”IMF Staff Pap.30:4, pp.683-702.
Dominguez, Kathryn M. and Jeffrey A. Frankel.(1993a),“Does Foreign Exchange Intervention Work? ” Washington , DC: Institute Int. Econ.
Daniels, J.(1997), “Optimal sterilization in interdependent economies,” Journal of Economics and Business , 49 (1) , 43–60.
Flood, R. P. and P. M. Garber(1984), “Collapsing Exchange-Rate Regimes: Some
Linear Examples,” Journal of International Economics, 17, 1-13.
Flood, R. P., Garber, P.M. (1984b.) , “ Collapsing exchange rate regimes: Some linear examples.” Journal of International Economics,17 (1–2), 1–13.
Flood, Robert P. and Nancy P.Marion.(1997),“Perspectives on the Recent Currency Crisis Literature,” International Journal of Financial Economics, 4:1, pp.1-26.
Flood, Robert P. and Nancy P. Marion.(1999),“ Perspectives on the Recent Currency Crisis Literature,” International Journal of Financial Economics.4:1, pp.1-26.
Mussa, Michael.(1981), “The Role of Official Intervention.”, NY: Group of Thirty.
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Obstfeld, M.(1986), “Rational and self-fulfilling balance of payments crises,” American Economic Review76 (1) , 72–81.
Obstfeld, M.(1990), “The Effectiveness of Foreign Exchange Interventional: Recent Experience:1985-1988, ” in International Policy Coordination and
Exchange Rate Fluctuations. ” William H. Branson, Jeffrey A. Frenkel and Morris Goldstein , eds .Chicago : U. Chicago Press.
Obstfeld, M.(1994), “The Logic of Currency Crises,” Cahiers Economiques et
Monetaires , 43, 189-213.
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Obstfeld, M.(1996), “Models of Currency Crises with Self-Fulfilling Features,”
European Economic Review, 40, 1037-1047.
Park, Yung Chul.(1995), “Korea's Experience with Managing Foreign Capital Flows,” Korea University and Korea Institute of Finance, September, processed.
Rogoff, Kenneth(1985), “The Optimal Degree of Commtiment to an Intermediate Monetary Target,” Quartly Journal of Economics.100:4, pp.1169-89.
Reinhart, Carmen and Vincent Reinhart(1998), “Some Lessons for Policy Makers Dealing with the Mixed Blessing of Capital Inflows,” in Capital Flows and Financial Crises, M. Kahler (ed.). New York, Council on Foreign Relations.
Stein, Jeremy C.(1987),“Information Externalities and Welfare-reducing
Speculation,” The Journal of Political Economy ,95:6,pp.1234-45.
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