權衡性貨幣回饋法則：以台灣為例

Discretionary Monetary Feedback Rule: The Taiwan Case

10.29628/AEP.200012.0001

沈中華(Chung-Hua Shen)；徐千婷(Sarah Chien-ting Hsu)

貨幣回饋法則 ； 馬可夫轉換 ； 貨幣政策 ； Monetary feedback rule ； Markov switching ； Monetary policy

經濟論文

28卷4期（2000 / 12 / 01）

339 - 367

繁體中文

文獻上常見的貨幣政回饋法則多假設為線性，亦即假設法則中的權數為固定常數，這種假設可能因為過度簡化，而無法捕捉貨幣當局在面臨經濟情況發生重大改變時的權衡性反應模式。因此，本文建立一個允許權數變動的非線性貨幣回饋法則，在這個法則中，貨幣政策目標的權數由一個狀態變數(state variable)所主導而呈現隨機變動，此一狀態變數的設定與Hamilton(1989)的設定相同，亦即狀態間的轉換遵循一階馬可夫鏈(Markov chain)。利用此一 Markov switching貨幣回饋法則，來估計台灣的中央銀行在1986年至1999年間的行為後發現，央行的決策行為的確曾經出現過非線性的情況，Bernanke and Mishkin(1992)稱這種情況為，貨幣當局具有「危機意識」(crisis mentality)－當某一貨幣目標有危機時，貨幣當局將提高該目標的重要性，亦即提高回饋法則中的權數。本文得到的兩個估計結果證實了這種現象：第一、物價回饋權數在「低物價」狀態（狀態一）絕對值較小，只有0.12，而在「高物價」狀態（狀態二）絕對值比較大，達15.52。由兩個狀態下物價回饋權數的差異可以得知，在沒有通貨膨脹壓力時，央行對於物價偏離目標時所採取的因應措施比較溫和；反之，當面臨通貨膨脹壓力時，央行會採取比較強烈的緊縮措施。第二、在某些樣本期間，特別是1986年2月至1986年10月、以及1991年8月至1992年5月，當新台幣對美元持續大幅升值期間，央行對於匯率的重視程度明顯提高，回饋法則中的匯率回饋權數絕對值由狀態一的0.07，上升為狀態二的36.95。

Most monetary feedback rules are assumed to be linear, i.e. the coefficients of target variables are constants. While such an assumption offers the advantages of simplicity and transparency, the simplification, however, may at the same time suffer from lack of flexibility. In particular, linear rules have difficulty capturing the discretionary actions taken by monetary authorities, especially when monetary authorities encounter unexpected or drastic changes in economic situations. Therefore, in this paper we establish a nonlinear feedback rule which allows the weight of each target variable to vary. The weights in our rule are governed by a state variable, thus exhibiting random movements. The specification of the state variable is the same as in Hamilton’s (1989), i.e. switching of the state variable follows a first-order Markov chain. We then apply this Markov switching feedback rule to describe the behavior of Taiwan’s central bank (the Central Bank of China, CBC) during 1986 to 1999. The empirical results show that the behavior of the CBC does exhibit some features of nonlinearity.

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