再論台灣非線性利率法則

The Re-Examination of the Non-Liner Interest Rate Rule in Taiwan

吳致寧(Jyh-Lin Wu) ； 李慶男(Ching-Nun Lee) ； 張志揚(Chih-Yang Chang) ； 林依伶(Yi-Ling Lin) ； 陳佩玗(Pei-Yu Chen) ； 林雅淇(Ya-Chi Lin)

《經濟論文》 39卷3期 (2011/09) Pp. 307-338

https://doi.org/10.29628/AEP.201109.0002

摘要

本文以具內生解釋變數及內生門檻變數之門檻模型重新探討台灣央行自1998年後之非線性利率法則。實證結果指出，央行採取反景氣循環的貨幣政策法則，匯率穩定為央行貨幣政策的重要目標，貨幣政策對經濟變數有不對稱的反應及門檻估計值為正。匯率變動之絕對值增加在新台幣貶值期間使利率上升，然後在新台幣升值期間則使利率下跌，此反映出央行採逆風向干預之貨幣政策，前述結論據實證上之穩健性。

關鍵字

泰勒法則 ； 貨幣政策 ； 政策慣性假說 ； 遺漏變數假說 ； 門檻模型

並列摘要

This paper applies a threshold model with endogenous threshold and explanatory variables to re-examine the nonlinear interest rate rule of the central bank of the Republic of China (Taiwan) since 1998. Empirical results indicate that the central bank adopts a counter-cyclical monetary policy rule, and exchange rate stability is an important target in the conducted policy. Besides, monetary policies have asymmetric effects on macro variables and the estimated threshold value is positive. An increase in the exchange rate change, measured in its absolute value, increases the interest rate under a depreciation regime, but it decreases the interest rate under an appreciation regime. This reflects that the central bank conducted a monetary policy to lean against the wind. Furthermore, the above mentioned results are robust empirically.

並列關鍵字

Taylor rule ； Monetary policy ； Policy inertia hypothesis ； Omitted variable hypothesis ； Threshold model

參考文獻

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