台灣利率法則之估計－即時資料vs.修正資料

The Interest Rate Rule in Taiwan: Real-Time Data vs. Revised Data

吳若瑋(Jo-Wei Wu)；吳致寧(Jyh-Lin Wu)

利率法則 ； 即時資料 ； 反景氣循環 ； 利率平滑 ； 門檻模型 ； Interest rate rule ； Real-time data ； Counter-cyclical monetary policy ； Interest-rate smoothing ； Threshold model

經濟論文

42卷1期（2014 / 03 / 01）

31 - 78

繁體中文

本文強調央行貨幣政策行為之資料訊息問題，並探討央行之利率法則是否具不對稱性。為此本文建構可適用於估計台灣利率法則之即時資料，並估計央行之利率法則。實證結果指出，不論在名目匯率變動率大於或小於門檻值之期間下，利率自迴歸係數為正且小於1，產出缺口及通貨膨脹率對利率之影響皆顯著為正。名目匯率缺口對利率之影響在名目匯率變動率大於門檻值之期間顯著為負，然在名目匯率變動率小於門檻值之期間則顯著為正。此顯示央行之貨幣政策具平滑性，反景氣循環性及阻升助貶之特性。

This study constructs the real-time data of Taiwan and then applies it to examine the interest rate rule of the central bank of the Republic of China (Taiwan) since 1990. Empirical results indicate that the autocorrelation coefficient of interest rates is positive but less than one, and that the impact of output gap and inflation gap on interest rates are positive regardless of exchange-rate regimes. These results indicate that the central bank adopts interest-rate smoothing and a counter-cyclical monetary policy rule. Moreover, the impact of the exchange-rate gap on interest rates is significantly negative in the depreciation regime, but significantly positive in the appreciation regime. These results indicate that the central bank's monetary policy has the property of preventing appreciation and promoting depreciation of the New Taiwan dollar.

1. 吳致寧、李慶男、張志揚、林依伶、陳佩玗、林雅淇(2011)。再論台灣非線性利率法則。經濟論文，39(3)，307-338。
   連結：
2. 姚睿、朱俊虹、吳俊毅(2010)。台灣泰勒法則估計之資料訊息問題。台灣經濟預測與政策，41(1)，85-119。
   連結：
3. 陳旭昇、吳聰敏(2010)。台灣貨幣政策法則之檢視。經濟論文，38(1)，33-59。
   連結：
4. Lai, H. P. and C. C. Lin (2012), “Estimation of the Generalized Endogenous Threshold Model,” Working Paper, Department of Economics, National Chung Cheng University.
5. Kourtellos, A., T. Stengos, and C. M. Tan (2013), “Structural Threshold Regression,” Working Paper, Department of Economics, University of Cyprus.
6. Kourtellos, A., T. Stengos, and C. M. Tan (2013), “A Note on Structural Threshold Regression,” Working Paper, Department of Economics, University of Cyprus.
7. 行政院主計總處（1978-2011）,《國民經濟統計季報》, 台北: 行政院主計總處。[Directorate-General of Budget, Accounting and Statistics, Executive Yuan, R.O.C. (Taiwan) (1978–2011), Quarterly National Economic Trends, Taipei: Directorate-General of Budget, Accounting and Statistics, Executive Yuan, R.O.C. (Taiwan).]
8. Kourtellos, A., T. Stengos, and C. M. Tan (2012), “The Effect of Public Debt on Growth in Multiple Regimes,” Working Paper, Department of Economics and Finance, University of Guelph.
9. Caner, M.,Hansen, B. E.(2004).Instrumental Variable Estimation of A Threshold Model.Econometric Theory,20(5),813-843.
10. Clarida, R.,Galí, J.,Gertler, M.(1998).Monetary Policy Rules in Practice: Some International Evidence.European Economic Review,42(6),1033-1067.
11. Clausen, J. R.,Meier, C.-P.(2005).Did the Bundesbank Follow a Taylor Rule? An Analysis Based on Real-Time Data.Swiss Journal of Economics and Statistics,141(2),213-246.
12. Davies, R. B.(1977).Hypothesis Testing When a Nuisance Parameter Is Present Only Under the Alternative.Biometrika,64(2),247-254.
13. Engel, C.,West, K. D.(2005).Exchange Rates and Fundamentals.Journal of Political Economy,113,485-517.
14. Gerberding, C.,Seitz, F.,Worms, A.(2005).How the Bundesbank Really Conducted Monetary Policy.The North American Journal of Economics and Finance,16(3),277-292.
15. Goodhart, C.(1999).Central Bankers and Uncertainty.Bank of England Quarterly Bulletin,39(1),102-114.
16. Hansen, B. E.(1996).Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis.Econometrica,64(2),413-430.
17. Huang, H. C.,Shen, C. H.(2002).Estimation of Taiwan's Binary Monetary Policy Reaction Function.Journal of Economic Studies,29,222-239.
18. Molodtsova, T.,Papell, D. H.(2009).Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals.Journal of International Economics,77,167-180.
19. Nikolsko-Rzhevskyy, A.(2008).MPRA Working Paper, No. 11352MPRA Working Paper, No. 11352,未出版
20. Orphanides, A.(2003).Historical Monetary Policy Analysis and the Taylor Rule.Journal of Monetary Economics,50,983-1022.
21. Orphanides, A.(2001).Monetary Policy Rules Based on Real-Time Data.American Economic Review,91,964-985.
22. Orphanides, A.(2003).Monetary Policy Evaluation with Noisy Information.Journal of Monetary Economics,50(3),605-631.
23. Rudebusch, G. D.(2002).Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia.Journal of Monetary Economics,49(6),1161-1187.
24. Rudebusch, G. D.(2006).Monetary Policy Inertia: Fact or Fiction?.International Journal of Central Banking, International Journal of Central Banking,2(4),85-135.
25. Sauer, S.,Sturm, J.-E.(2007).Using Taylor Rules to Understand European Central Bank Monetary Policy.German Economic Review,8(3),375-398.
26. Shen, C. H.(2000).Estimation of a Taiwan Monetary Reaction Function with Time Varying Parameters.Applied Economics,32,459-466.
27. Shen, C. H.,Hakes, D. R.(1995).Monetary Policy as a Decision-Making Hierarchy: The Case of Taiwan.Journal of Macroeconomics,17,357-368.
28. Taylor, J. B.(1993).Discretion versus Policy Rules in Practice.Carnegie-Rochester Conference Series on Public Policy,39,195-214.
29. 林依伶、張志揚、陳佩玗(2012)。台灣利率法則之實證研究—考慮匯率變動之不對稱性效果。中央銀行季刊，34(1)，39-62。

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。