Central Bank's Intervention Policies and Multi-intervention Behaviors under Small Open Economy

• Main Authors: Yu-ming Hsiao, 蕭玉明
• Other Authors: Po-Chin Wu
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/fy7s36

碩士 === 中原大學 === 國際貿易研究所 === 92 === Abstract Based on small open macroeconomic model, this thesis considers the factors that influencing Taiwan’s trade to establish the quantitative index for measuring Central Bank’s bilateral and multilateral intervention behavior (including the direct intervention, the sterilization intervention and the indirect intervention). These factors include the trade volumes, price levels, interest rates and exchange rates of Taiwan and her major trading partners (United States, England, <a href="http://www.ntsearch.com/search.php?q=Japan&v=56">Japan</a>, Hong Kong, Singapore, <a href="http://www.ntsearch.com/search.php?q=Australia&v=56">Australia</a>, Germany and Netherlands). In empirical evidence, I adopt three stages least square (3SLS) to estimate the simultaneous equation system. Quarterly data is selected from January 1990 to December 2001. Multilateral and bilateral intervention index and exchange market pressure index are measured and compared to investigate the meaning of managed floating exchange rate system in Taiwan. Besides, to judge the differential effect of Central <a href="http://www.ntsearch.com/search.php?q=Bank&v=56">Bank</a> intervention, I split the sample period into two periods according to Asia <a href="http://www.ntsearch.com/search.php?q=currency&v=56">currency</a> crises in July 1997. The empirical results show that the degree of multilateral intervention is lower than that of bilateral intervention and the average degrees of bilateral direct intervention, sterilization intervention and indirect intervention are all larger than 0.7. This implies that the Central <a href="http://www.ntsearch.com/search.php?q=Bank&v=56">Bank</a> in Taiwan pays more attention to stabilize the exchange rate of N.T. dollars for U.S. dollars, and adopts highly intervention policy. Moreover, the average bilateral intervention index before Asia <a href="http://www.ntsearch.com/search.php?q=currency&v=56">currency</a> crises period larger than that after Asia <a href="http://www.ntsearch.com/search.php?q=currency&v=56">currency</a> crises period. It reveals that the Central <a href="http://www.ntsearch.com/search.php?q=Bank&v=56">Bank</a> trends to intervene in foreign exchange market to stabilize the exchange rate of N.T. dollars for U.S. dollars before Asia <a href="http://www.ntsearch.com/search.php?q=currency&v=56">currency</a> crises period. In the case of multilateral intervention, the average intervention indices that the Central <a href="http://www.ntsearch.com/search.php?q=Bank&v=56">Bank</a> intervenes in foreign exchange markets between before and after Asia <a href="http://www.ntsearch.com/search.php?q=currency&v=56">currency</a> crises periods are indistinct. Notwithstanding above result, the direct intervention index and the indirect intervention index after Asia <a href="http://www.ntsearch.com/search.php?q=currency&v=56">currency</a> crises period are both larger than those before Asia <a href="http://www.ntsearch.com/search.php?q=currency&v=56">currency</a> crises period. Finally, the bilateral intervention index is lager than the multilateral intervention index during all sample period. It means that the Central Bank’s intervention policy focuses on the exchange rate of N.T. dollars for U.S. dollars. Keywords: Exchange Market Pressure, Bilateral (Multilateral) Intervention Index, 3SLS.