央行公開市場操作對貨幣市場利率的影響

The Effect of Daily Open Market Operation on Money Market Interest Rates

沈中華(Chung-Hua Shen) ； 李卿企(Chin-Chi Lee)

《財務金融學刊》 13卷1期 (2005/04) Pp. 99-137

https://doi.org/10.6545/JFS.2005.13(1).4

摘要

本文主旨是研究央行每日公開市場操作針短期利率的影響，以台灣的市場為研究對象，以日資料估計符合流動性效果理論的影響係數。首先以OLS估計所有樣本，實證結果顯示央行公開市場操作的代理變數（定期存單淨發行量）增加，為緊縮的貨幣工具，卻造成利率下跌，違反流動性效果假說。為了估計符合流動性效果理論的影響係數，本文在估計模型的設定上同時考慮下列因素，首先，本文將央行公開市場操作區分為動態性與防禦性操作。其次，將央行公開市場操作的決策視為內生，建立Multiple Criteria Selection Model的Sequential model。以延伸的Heckman's Two-Step方法估計。最後，本文考慮央行對公開市場操作的態度改變，是否會影響公開市場線作對利率的影響係數，將央行公開市場操作態度的改變日2003年3月14日為樣本分割點，比較該日前後影響係數有何不同。最後，本文發現在2003年3月14之後，在央行進行動態性公開市場操作下，可以得到符合流動性效果理論的影響係數。

關鍵字

公開市場操作 ； 利率 ； 流動性效果

並列摘要

The purpose of this paper is to investigate the daily effect of open market operation on short-term interest rate. The net issue of central bankfs certificates of deposit (CD) is functioned as the open market operation instrument. At beginning, employing a simple linear regression model, the benchmark model in our paper, the counter-intuitive evidence that issuance of DC decreases the short-term interest rate is found. To solve this puzzle, first, we disentangle the effect of the defensive operation from the dynamic operation. Next, we apply the Multiple Criteria Selection Model (MCSM) to solve the problems of selection bias and to estimate the two decision functions and the effects of daily open market operations. At last, we also consider the change of central bankfs attitude toward the open market operations. We separate the sample by the date (13-April-2003) of the speech of the governor of CBC, Fai-Nan Perng. We find that after 13-April-2003, the issuance of CD increase the short-term interest rate under dynamic O.M.O. and the coefficient is significantly different from zero which means the daily liquidity effect exists.

並列關鍵字

open market operation ； interest rates ； daily liquidity effect

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