臺灣貨幣法則之實證研究

Monetary Rule in Taiwan - An Empirical Study

10.6342/NTU.2009.01611

曾玉玫

貨幣政策 ； 貨幣法則 ； McCallum 法則 ； Taylor 法則 ； 馬可夫轉換模型 ； 非對稱時間序列模型 ； Monetary Policy ； Monetary Rule ； McCallum Rule ； Taylor Rule ； Markov Switching Model ； Asymmetric Time Series Model

國立臺灣大學經濟學系學位論文

2009年

碩士

毛慶生

繁體中文

在面對通貨膨脹與經濟衰退不同的經濟情勢下，貨幣決策當局是否有不同的政策法則向為學者所關注。 自 B. T. McCallum 的數量法則與 1993 年 John B .Taylor 提出泰勒法則之後，有關貨幣法則的研究便大量出現，惟傳統泰勒法則僅考慮產出缺口與通貨膨脹率缺口對短期利率的影響，並未加入匯率的變數，而臺灣為一小型開放的經濟體，受匯率影響的程度不小，故本文嘗試研究以貨幣數量及利率為政策工具並考量匯率變動對中央銀行決策法則的影響。 首先以傳統的線性法則描述貨幣決策當局的行為，最終則嘗試以 Markov Switching Model為計量方法，以究明何者較能妥適地描繪自利率及外匯自由化後的臺灣地區之實證資料。

This paper studies the monetary rule for Taiwan. In addition to output and inflation targeting, we also consider the role of exchange rate fluctuations in the central bank's decision process. Our empirical results indicate that the behavior of Taiwan's central bank is strongly influenced by the state of the economy, and is best described by a nonlinear and asymmetric specification of the model, either McCallum's type or Taylor's type. We estimate the monetary rules using two types of specifications: (1) linear model with dummies representing the state of the economy, and (2) Markov switching model. Using quarterly data from 1985 to 2008, we find that the central bank in Taiwan is particularly sensitive to the real performance of the economy. The central bank would devote its efforts to fight inflation only when the economy is prosperous. During recessions, the central bank would typically adopt a counter-cyclical policy, inflation is not its major concern. After controlling the state of output growth, exchange rate fluctuations do not seem to play an important role in the monetary policy.

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