再論台灣非線性利率法則

The Re-Examination of the Non-Liner Interest Rate Rule in Taiwan

10.29628/AEP.201109.0002

吳致寧(Jyh-Lin Wu)；李慶男(Ching-Nun Lee)；張志揚(Chih-Yang Chang)；林依伶(Yi-Ling Lin)；陳佩玗(Pei-Yu Chen)；林雅淇(Ya-Chi Lin)

泰勒法則 ； 貨幣政策 ； 政策慣性假說 ； 遺漏變數假說 ； 門檻模型 ； Taylor rule ； Monetary policy ； Policy inertia hypothesis ； Omitted variable hypothesis ； Threshold model

經濟論文

39卷3期（2011 / 09 / 01）

307 - 338

繁體中文

本文以具內生解釋變數及內生門檻變數之門檻模型重新探討台灣央行自1998年後之非線性利率法則。實證結果指出，央行採取反景氣循環的貨幣政策法則，匯率穩定為央行貨幣政策的重要目標，貨幣政策對經濟變數有不對稱的反應及門檻估計值為正。匯率變動之絕對值增加在新台幣貶值期間使利率上升，然後在新台幣升值期間則使利率下跌，此反映出央行採逆風向干預之貨幣政策，前述結論據實證上之穩健性。

This paper applies a threshold model with endogenous threshold and explanatory variables to re-examine the nonlinear interest rate rule of the central bank of the Republic of China (Taiwan) since 1998. Empirical results indicate that the central bank adopts a counter-cyclical monetary policy rule, and exchange rate stability is an important target in the conducted policy. Besides, monetary policies have asymmetric effects on macro variables and the estimated threshold value is positive. An increase in the exchange rate change, measured in its absolute value, increases the interest rate under a depreciation regime, but it decreases the interest rate under an appreciation regime. This reflects that the central bank conducted a monetary policy to lean against the wind. Furthermore, the above mentioned results are robust empirically.

1. 陳旭昇、吳聰敏(2010)。台灣貨幣政策法則之檢視。經濟論文，38，33-59。
   連結：
2. Kourtellos, A., T. Stengos, and C. M. Tan (2007), "THRET: Threshold Regression with Endogenous Threshold Variables," Working Paper, Rimini Centre for Economic Analysis.
3. Welz, P. and P. Österholm (2005), "Interest-Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests," Working Paper, Uppsala University.
4. Kazanas, T. and E. Tzavalis (2009), "ThresholdModels forMonetary Policy Rules for the Euro Area," Working Paper, Bank of Greece.
5. Baum, C. F.,Schaffer, M. E.,Stillman, S.(2003).Instrumental Variables and GMM: Estimation and Testing.The Stata Journal,3,1-31.
6. Caner, M.,Hansen, B. E.(2004).Instrumental Variable Estimation of a Threshold Model.Econometric Theory,20,813-843.
7. Chang, H. S.(2005).Estimating the Monetary Policy Reaction Function for Taiwan: A VAR Model.International Journal of Applied Economics,2,50-61.
8. Clarida, R.,Galí, J.,Gertler, M.(1998).Monetary Policy Rules in Practice: Some International Evidence.European Economic Review,42,1033-1067.
9. Durbin, J.(1954).Errors in Variables.Review of the International Statistical Institute,22,23-32.
10. Gerlach-Kristen, P.(2004).Interest-Rate Smoothing: Monetary Policy Inertia or Unobserved Variables?.The B.E. Journal of Macroeconomics,4
11. Goodfriend, M.(1991).Interest Rates and the Conduct of Monetary Policy.Carnegie-Rochester Conference Series on Public Policy,34,7-30.
12. Goodfriend, M.(1987).Interest-Rate Smoothing and Price Level Trend Stationarity.Journal of Monetary Economics,19,335-348.
13. Goodhart, C.(1999).Central Bankers and Uncertainty.Bank of England Quarterly Bulletin,39,102-121.
14. Hamilton, J. D.(1994).Time Series Analysis.Princeton, NJ:Princeton University Press.
15. Hansen, B. E.(2000).Sample Splitting and Threshold Estimation.Econometrica,68,575-604.
16. Hansen, B. E.(1996).Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis.Econometrica,64,413-430.
17. Hausman, J.(1978).Specification Tests in Econometrics.Econometrica,46,1251-1271.
18. Heckman, J.(1979).Sample Selection Bias as a Specification Error.Econometrica,47,153-161.
19. Huang, H. C.,Shen, C. H.(2002).Estimation of Taiwan's Binary Monetary Policy Reaction Function.Journal of Economic Studies,29,222-239.
20. Mohanty, M. S.,Klau, M.(2004).Monetary Policy Rules in Emerging Market Economics: Issues and Evidence.BIS Working Papers,149
21. Orphanides, A.(2003).Monetary Policy Evaluation with Noisy Information.Journal of Monetary Economics,50,605-631.
22. Rudebusch, G. D.(2001).Is the Fed Too Timid? Monetary Policy in an Uncertain World.Review of Economics and Statistics,83,203-217.
23. Rudebusch, G. D.(2006).Monetary Policy Inertia: Fact or Fiction?.International Journal of Central Banking,2,85-135.
24. Rudebusch, G. D.(2002).Term Structure Evidence on Interest-Rate Smoothing and Monetary Policy Inertia.Journal of Monetary Economics,49,1161-1187.
25. Shen, C. H.(2000).Estimation of a Taiwan Monetary Reaction Function with Time Varying Parameters.Applied Economics,32,459-466.
26. Shen, C. H.,Hakes, D. R.(1995).Monetary Policy as a Decision-Making Hierarchy: The Case of Taiwan.Journal of Macroeconomics,17,357-368.
27. Smets, F.(1998).Output Gap Uncertainty: Does It Matter for the Taylor Rule?.BIS Working Papers,60
28. Taylor, J. B.(1993).Discretion versus Policy Rules in Practice.Carnegie-Rochester Conference Series on Public Policy,39,195-214.
29. Woodford, M.(1999).Optimal Monetary Policy Inertia.The Manchester School,67,1-35.
30. Wu, D.-M.(1973).Alternative Tests of Independence between Stochastic Regressors and Disturbances.Econometrica,41,733-750.

1. 張君瑋(2017)。台灣動態隨機一般均衡模型建立與估計-應用馬可夫轉換模型。清華大學經濟學系學位論文。2017。1-34。