不同景氣狀態下的台灣貨幣政策效果

THE EFFECTS OF MONETARY POLICY OVER BUSINESS CYCLES IN TAIWAN

蕭宇翔(Yu-Hsiang Hsiao)

貨幣政策 ； 景氣狀態 ； 衝擊反應 ； Monetary policy ； Business cycle ； Impulse response

經濟論文

49卷4期（2021 / 12 / 01）

527 - 568

繁體中文

本文檢視在景氣循環的不同時點，貨幣政策對實體經濟的影響效果是否不同。考量貨幣政策決策多具前瞻性與反循環的特質，本文控制央行決策當下所掌握的經濟成長率與通膨率預測數，排除政策利率因應未來經濟情勢調整的部分，據以認定貨幣政策衝擊。估計結果顯示，據此方法認定之貨幣政策衝擊對實質產出、失業率、實質銀行放款的影響效果，大於傳統採短期限制條件所認定的政策衝擊。短期限制條件僅控制當期與過去總體變數的變化，忽略央行貨幣決策的前瞻性，可能低估貨幣政策刺激經濟的效果。進而，在景氣熱絡時期，貨幣政策對實質產出、失業率、實質銀行放款的影響較景氣低迷時大，對消費者物價指數較無明確的不對稱效果。

This paper investigates the asymmetric impact of monetary policy over business cycles in Taiwan. Employing Romer and Romer's (2004) identification approach, we construct a new measure of monetary policy shocks for Taiwan's economy. Estimated by the new measure, the finding suggests that the impact of monetary policy is larger and the transmission speed is faster than with a short-term restriction approach. Moreover, the impact of monetary policy on output, employment, and real bank loans are less effective in recessions than in expansions. Furthermore, private consumption and investment are less responsive to monetary policy in recessions than in expansions, and government consumption has no significant response in either state. The paper, however, finds no asymmetric impact on the consumer price index over business cycles.

1. Huang, C.-H.,Yu, L.-H.(2015).Bank Lending Behavior and a Credit Channel in Monetary Transmission: Evidence from Taiwan.Taiwan Economic Review,43(2),219-242.
   連結：
2. Auerbach, A.,Gorodnichenko, Y.(2012).Measuring the Output Responses to Fiscal Policy.American Economic Journal: Economic Policy,4(2),1-27.
3. Auerbach, A.,Gorodnichenko, Y.(2013).Fiscal Multipliers in Recession and Expansion.Fiscal Policy After the Financial Crisis,Chicago, IL:
4. Barnichon, R.,Brownlees, C.(2019).Impulse Response Estimation by Smooth Local Projections.Review of Economics and Statistics,101(3),522-530.
5. Barth, M. J.,Ramey, V. A.(2001).The Cost Channel of Monetary Transmission.NBER Macroeconomics Annual,16,199-240.
6. Berger, D.,Vavra, J.(2015).Consumption Dynamics during Recessions.Econometrica,83(1),101-154.
7. Bloom, N.(2009).The Impact of Uncertainty Shocks.Econometrica,77(3),623-685.
8. Bloom, N.,Floetotto, M.,Jaimovich, N.,Saporta-Eksten, I.,Terry, S. J.(2018).Really Uncertain Business Cycles.Econometrica,86(3),1031-1065.
9. Caggiano, G.,Castelnuovo, E.,Nodari, G.(2020).Uncertainly and Monetary Policy in Good and Bad Times: A Replication of the VAR Investigation by Bloom (2009).Journal of Applied Econometrics,37(1),210-217.
10. Caglayan, M.,Kocaalan, O. K.,Mouratidis, K.(2017).Financial Depth and the Asymmetric Impact of Monetary Policy.Oxford Bulletin of Economics and Statistics,79(6),1195-1218.
11. Cloyne, J.,Hurtgen, P.(2016).The Macroeconomic Effects of Monetary Policy: A New ¨Measure for the United Kingdom.American Economic Journal: Macroeconomics,8(4),75-102.
12. Coibion, O.,Gorodnichenko, Y.,Kueng, L.,Silvia, J.(2017).Innocent Bystanders? Monetary Policy and Inequality.Journal of Monetary Economics,88,70-89.
13. Gaiotti, E.,Secchi, A.(2006).Is There a Cost Channel of Monetary Policy Transmission? An Investigation into the Pricing Behavior of 2,000 Firms.Journal of Money, Credit and Banking,38(8),2013-2037.
14. Garcia, R.,Schaller, H.(2002).Are the Effects of Monetary Policy Asymmetric?.Economic Inquiry,40(1),102-119.
15. Hamilton, J. D.(2018).Why You Should Never Use the Hodrick-Prescott Filter.Review of Economics and Statistics,100(5),831-843.
16. Jordà, Ò.(2005).Estimation and Inference of Impulse Responses by Local Projections.American Economic Review,95(1),161-182.
17. Jordà, Ò.,Schularick, M.,Taylor, A. M.(2020).The Effects of Quasi-Random Monetary `Experiments.Journal of Monetary Economics,112,22-40.
18. Lo, M.-C.,Piger, J.(2005).Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model.Journal of Money, Credit and Banking,37(5),865-886.
19. Morgan, D. P.(1993).Asymmetric Effects of Monetary Policy.Economic Review,78(2),22-33.
20. Mumtaz, H.,Surico, P.(2015).The Transmission Mechanism in Good and Bad Times.International Economic Review,56(4),1237-1259.
21. Peersman, G.,Smets, F.(2005).The Industry Effects of Monetary Policy in the EURO Area.Economic Journal,115,319-342.
22. Ramey, V. A.(2016).Macroeconomic Shocks and Their Propagation.Handbook of Macroeconomics,Amsterdam:
23. Ramey, V. A.,Zubairy, S.(2018).Government Spending Multipliers in Good Times and in Bad: Evidence from U.S. Historical Data.Journal of Political Economy,126(2),850-901.
24. Romer, C. D.,Romer, D. H.(2004).A New Measure of Monetary Policy Shocks: Derivation and Implications.American Economic Review,94(4),1055-1084.
25. Santoro, E.,Petrella, I.,Pfajfar, D.,Gaffeo, E.(2014).Loss Aversion and the Asymmetric Transmission of Monetary Policy.Journal of Monetary Economics,68,19-36.
26. Sims, C. A.(1992).Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy.European Economic Review,36(5),975-1000.
27. Tenreyro, S.,Thwaites, G.(2016).Pushing on a String: US Monetary Policy Is Less Powerful in Recessions.American Economic Journal: Macroeconomics,8(4),43-74.
28. Vavra, J.(2014).Inflation Dynamics and Time-Varying Volatility: New Evidence and an SsInterpretation.Quarterly Journal of Economics,129(1),215-258.
29. Weise, C. L.(1999).The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Auto regression Approach.Journal of Money, Credit and Banking,31(1),85-108.
30. 張天惠, T.-H.,朱浩榜, H.-P.(2016)。台灣貨幣政策執行及傳遞機制之探討。中央銀行季刊，38(4)，11-41。

1. (2024)。以文字探勘技術編製台灣貨幣政策意料外指數與其應用。中央銀行季刊，46(1)，5-38。