中、日、韓三國外匯市場之共同波動、聯合干預及溢出效果

Co-Movement, Joint Intervention and Spillover Effect of the Forex Market among China, Japan and Korea

10.6989/JN.201112.0325

王春源(Chun-Yuan Wang)；王昭偉(Zhao-Wei Wang)

匯率波動 ； 外匯干預 ； VOLATILITY of FOREX RATE ； FOREX INTERVENTION ； ARMA-GARCH ； BEKK-MGARCH ； SVAR

南亞學報

31期（2011 / 12 / 01）

325 - 344

繁體中文

本文估計中國、日本及韓國1997年1月至2010年9月之實際有效匯率之最適ARMA-GARCH型態，并檢驗中日韓三國之央行干預外匯市場之政策有效性，發現日本央行干預匯市最為有效，而韓國央行的干預政策最為無效。同時，我們以BEKK-MGARCH方法檢驗中國、日本及韓國之實際有效匯率之共同波動及央行聯合干預政策，發現中日、日韓之聯合干預效果顯著。最後，我們以SVAR法檢驗三國匯率之動態關係存在遞歸現象，發現中國匯率最不受干擾、日本次之，而韓國匯率最受干擾。

This paper estimates the optimal ARMA-GARCH pattern of the real effective forex rate during the period of January, 1997 and September, 2010 among China, Japan and Korea, and tests the policy effectiveness of the forex market intervention among these three countries. We find that Japan is the most effective intervention country and that Korea is the least effective intervention country. We utilize BEEK-MGARCH method to test the co-movement of the real effective forex rates and the effectiveness of joint intervention policy of the forex market among China, Japan and Korea. We find that the countries with the most effective joint-intervention are China with Japan, and Japan with Korea.Finally, we utilize the SVAR method to test the regressive phenomenon of the forex rates dynamics among these three countries. We find that the countries with the extent of the forex rate insulation are sequentially China, Japan and Korea.