本文主要探討台灣地區1981至1999年間,在歷經金融自由化與金融不斷創新後,貨幣政策信用傳遞管道是否依舊重要。我們利用Semi-Structural VAR模型進行估計,並以銀行同業拆款利率的結構性干擾代表外生貨幣政策的衝擊。由總體經濟變數與不同類型金融機構的資產組合所受到貨幣政策的衝擊反應結果發現,支持銀行信用管道存在的證據並不明顯。
This paper tries to investigate whether the credit channel in the transmission of monetary policy is still important during 1981 to 1999, after financial liberalization and innovations in Taiwan. The Semi-Structural VAR model is employed to identify exogenous shocks to monetary policy by taking the interbank call loan (overnight) rate as the central bank's policy instrument. Judging from the responses of macroeconomic variables and of the portfolio of two different-size banks, the existence of the credit channel in the transmission of monetary policy is not strongly supported.