再探匯率操縱政策：波動性來源與不對稱干預的探討

In this report, we use structural vector autoregression (SVAR) to investigate whether the exchange rates of Indonesia, Malaysia, the Phillippines, Singapore, and Thailand are shock absorbers or the sources of shock. We explicitly incorporate a monetary policy reaction function in SVAR, and include output growth, domestic interest rate, foreign interest rate, inflation and exchange rate as endogenous variables. Our empirical findings suggest that the exchange rates of Indonesia, Malaysia, the Phillipines and Singapore are likely to be the sources of shock, while the exchange rate of Thailand acts like a shock absorber.