本研究的主要目的在建立更有效率的計量方法來估計貨幣政策的衝擊對匯率的影響。利率走升代表緊縮的貨幣政策, 利率下跌代表寬鬆的貨幣政策, 傳統經濟理論預測利率上升會導致升值, 然而許多實證結果卻發現緊縮的貨幣政策伴隨貶值。可能的解釋為貨幣政策的傳遞機制會隨經濟狀況而改變, 尤其外債部位高的新興亞洲國家在面臨貨幣政策緊縮時, 倒債風險升高, 引發資本外流及匯率貶值。既存實證文獻大多假設模型中利率對匯率的影響關聯固定不變, 使估計結果的準確度有限, 本研究提出兩種計量方法來重新估計貨幣政策對匯率的影響。第一種模型使用Kalman filter 過濾技術估計利率和匯率之間縮減式的時間變動關係。第二種模型採用Bayesian 貝氏結構向量迴歸進一步認定出貨幣政策與外匯干預兩種不同來源的政策衝擊。本研究利用四個東亞國家的資料(印尼、南韓、菲律賓、泰國) 進行模型估計, 估計結果可用以評估在金融風暴期間採用緊縮貨幣政策的主張是否合宜。 The objective of this research is to estimate the impact of monetary policy on exchange rates. Previous studies suggest that the relationship between interest rates and exchange rates may vary within, or across, regimes. Therefore, instead of assuming a constant interest-exchange rate relationship, I propose two models that allow for time-varying parameters. The first model is a reduced-form single equation approach that uses the Kalman filter technique to estimate the time-varying relationship between interest rate and exchange rate. The second model is a structural vector autoregression (VAR) approach that uses multiple equations to identify the shocks to the conventional monetary policy and those to monetary authority』s foreign exchange intervention policy. Weekly data from four East Asian countries: Indonesia, South Korea, the Philippines, and Thailand will be used to estimate the relationship. The estimation results can be used to evaluate whether a tight monetary policy has a perverse impact on the exchange rates during crisis periods. 研究期間：9608 ~ 9707
