Does the Central Bank of Taiwan Intervene in the Foreign Exchange Market Asymmetrically?
Journal
經濟論文叢刊
Journal Volume
44
Journal Issue
2
Pages
187-213
Date Issued
2016-06
Date
2016-06
Author(s)
Abstract
This paper investigates whether the Central Bank of the Republic of China (Taiwan) intervenes in the foreign exchange market asymmetrically. After identifying the structural exchange rate shocks using a structural VAR model, we decompose the exchange rate shocks into positive shocks (depreciation shocks) and negative shocks (appreciation shocks). We then examine whether depreciation and appreciation shocks have asymmetric effects on official intervention in the foreign exchange market. We confirm the existence of an asymmetry in central bank foreign exchange intervention responses to currency appreciations versus depreciations in Taiwan.
Subjects
中央銀行, 外匯市場干預, 阻升不阻貶(asymmetric intervention, central bank)
Type
journal article
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