台灣即期、遠期與無本金交割遠期外匯市場關聯性研究－NDF市場關閉政策分析

Dynamic Modeling of Spot, NDF and DF Markets: An Investigation of Taiwan NDF Restriction Policy

10.29628/AEP.200603.0003

王凱立(Kai-Li Wang)；吳軍奉(Chung-Feng Wu)

無本金交割遠期外匯 ； 傳導效果 ； 多變量GARCH模型 ； 波動不對稱 ； 多變量Student-t分佈 ； NDF ； Spillover effect ； Multivariate GARCH model ； Asymmetric volatility ； Multivariate Student-t distribution

經濟論文

34卷1期（2006 / 03 / 01）

93 - 126

繁體中文

本研究探討台灣即期、遠期與無本金交割遠期外匯市場間交互動態關聯，並針對1998年5月央行禁止國內法人承作NDF決策，對於穩定即期市場波動之政策有效性進行分析。實證結果顯示，雖然SPOT、NDF和DF市場彼此存在顯著雙向報酬傳導，但即期市場對於遠期外匯市場扮演更為明顯的價格領先角色。統跨市場波動傳導而言，央行禁止國內法人承作NDF前，NDF衝擊對SPOT市場造成顯著波動傳導；但在央行關閉國內法人承作NDF後，NDF對SPOT市場之波動傳導轉為不顯著，說明央行決策有助即期市場匯率波動的穩定。相關係數方面，央行關閉國內法人承作NDF後，隨著投機炒作退潮，NDF與SPOT之同期相關性反而較關閉前提高。

This paper analyzes the dynamic returns and volatility interactions among Taiwan's SPOT, NDF (Non-Physical Delivery Forward) and DF (Delivery Forward) exchange rate markets. Using the innovative multivariate Student-t GJR GARCH-M with Threshold Conditional Correlation Coefficient model, this paper finds that there exist bi-directional mean spillover effects among SPOT, NDF and DF markets; however, the SPOT market has a more dominant effect on NDF and DF markets than vice versa. Before the Central Bank of Taiwan imposed the restriction on domestic corporations to operate NDF, there was significant asymmetric volatility transmission from the NDF to the SPOT market; nevertheless, the volatility transmission effect turned to insignificance after the Central Bank of Taiwan implemented the restriction policy. The empirical observation provides the evidence that the restriction policy helps to improve the stability of the SPOT market. Furthermore, we found that the correlation coefficient between the SPOT and NDF markets is higher after the restriction policy was implemented. These findings suggest the restriction policy has altered the dynamic relations of return and volatility transmission and correlation coefficient between the SPOT and NDF markets.

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