| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === This paper was to examine the relationship between exchange rate fluctuations and intervention effects of Bank of Japan on exchange rate fluctuations.The research was based on the Generational Autocorrelation Conditional Heteroskedasticity Model (GARCH) model to analyze the influence which all variables could affect the exchange rate fluctuations of NTD, JPY and USD from 2007-2012. The results showed that the NTD and the JPY exchange rate fluctuations between the connection mobility effects exists. The Bank of Japan intervention will increase the exchange rate fluctuations and generate exchange rate volatility spillover effects.In the results of this paper, the intervention of Bank of Japan not only affect the fluctuations between the Japanese yen and the U.S. dollar , but also indirectly affect the fluctuations between the NT dollars and Japanese yen. The Bank of Japan''s foreign exchange interventions does have spillover effects . And by the results of this study, when domestic investors face in the future "Abe economics"with strong central bank intervention , configuring the relevant foreign asset portfolio risk or predict currency fluctuations mobility of exchange rate should be included in the covariance to determine the optimal portfolio.
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