台灣預期通貨膨脹率之估算與應用

摘要預期通貨膨脹率之估算對於貨幣政策制定有極大幫助，本文參考美國聯準會聖路易斯分行模型，使用多項總體變數估算台灣2006年至2022年間預期通貨膨脹率，研究結果發現，使用台灣長短期公債殖利率作為抗通膨債券殖利率之替代變數的估算結果，其趨勢與實際通膨率較相近，然而在2008年金融海嘯及2020年新冠疫情爆發前夕，估計皆呈現高估情形。本文將研究結果進一步應用在Lucas供給函數及費雪方程式，用以估算台灣之通膨彈性係數及實質利率，結果顯示通膨的意料外衝擊對於台灣名目產出造成顯著負向影響，平均通膨彈性係數表示產出對通貨膨脹率變化之敏感度不大。在實質利率方面，以長期公債估算之實質利率，趨勢與實際通貨膨脹率一致；以長短期公債估算之實質利率，走勢則與預期通貨膨脹率相反。因此，本文所估算之預期通膨雖有預測性，但以此方法計算台灣實質利率卻無法有效預估。

關鍵字

預期通貨膨脹率； Lucas供給函數；費雪方程式

並列摘要

Abstract The estimation of the expected inflation rate is of great help to the formulation of monetary policy. This paper refers to the model applied by the Federal Reserve Bank of St. Louis and uses a variety of macroeconomic variables to estimate the expected inflation rate of Taiwan from 2006 to 2022. The estimated result of using Taiwan's long-term and short-term bond yields rate as a proxy variable for the yield of US Treasury Inflation-Protected Securities(TIPS) is closer to the actual inflation rate. However, in the eve of the financial tsunami and the outbreak of the COVID-19 in 2020, the estimates are overestimated. This paper further applies the results to the Lucas supply function and the Fisher equation to estimate Taiwan's inflation elasticity coefficient and real interest rate. The results show that the unexpected impact of inflation has a significant negative impact on Taiwan's nominal output. The inflation elasticity coefficient indicates that output is not much sensitive to changes in the inflation rate. In terms of real interest rates, the real interest rate estimated by long-term Central Government Bonds is consistent with the actual inflation rate. However, the trend of the real interest rate estimated by long-term or short-term government bonds is opposite to the expected inflation rate. Consequently, Taiwan’s inflation in this paper is predictable, however, the real interest rate is not.