台灣利率轉嫁過程之實證研究

The Empirical Test of Taiwan Interest Rate Pass-Through Process

何怡滿(EMILY HO) ； 袁崇訓(CHUNG-HSUNG YUAN)

《輔仁管理評論》 25卷2期 (2018/05) Pp. 1-28

摘要

一國的中央銀行為了實現其經濟政策而調整重貼現率或放款融通利率，最先可能受到影響的是金融業隔夜拆款利率，然後再波及至銀行存放款利率或其他利率，此一過程可稱為利率轉嫁過程。 本文主要目的在探討從1997年1月至2016年12月，台灣六種主要利率之間的關係，分別使用共整合檢定、誤差修正模型，以及STAR非線性模型進行分析。在共整合檢定結果發現：重貼現率及放款融通利率分別對於金融業隔夜拆款利率與五大銀行平均基準放款利率具有長期穩定的均衡關係；金融業隔夜拆款利率分別與三個零售利率之間具有長期穩定的均衡關係。由誤差修正模型結果得知，零售利率除了存在自我的短期調整外，亦會受到批發利率的調整所影響。STAR非線性模型實證結果發現政策利率的變動對金融業隔夜拆款利率存在長期均衡調整關係，但是對於零售利率的影響程度卻不高；然而，金融業隔夜拆款利率對於零售利率較具有影響力。換言之，政策利率會影響金融業隔夜拆款利率，之後再透過金融業隔夜拆款利率影響零售利率。

關鍵字

利率轉嫁過程 ； 共整合檢定 ； 誤差修正模型 ； STAR模型

並列摘要

The central bank of a country adjusts its interest rate level in order to achieve its economic policy. The policy interest rates can affect the Overnight Interbank Call-Loan Rate and then pass-through to Bank Deposit Interest Rates or other interest rates. The transfer process can be called the interest rate pass-through process. The main purpose of this paper is to explore the relationship among the six major interest rates in Taiwan, using the co-integration test, the error correction model, and the STAR nonlinear model. By the co-integration test, Discount Rate and Interest Rate on Accommodations with Collateral had a long-term stable equilibrium relationship with average monthly Base Lending Rate by 5 major Banks and the Overnight Interbank Call-Loan Rate, respectively. The Overnight Interbank Call-Loan Rates had a long-term stable equilibrium relationship with three retail interest rates. The results of the error correction model showed that, in addition to the short-term self-adjustment, the retail interest rates were affected by the adjustment of the wholesale interest rates. The STAR non-linear model empirical results showed that the policy interest rate can affect the Overnight Interbank Call-Loan Rates, and then the Overnight Interbank Call-Loan Rates affected retail interest rates.

並列關鍵字

interest rate pass-through process ； co-integration test ； error correction model ； STAR model

參考文獻

王冠閔、李源明、黃柏農,「預期、非預期貨幣政策的衝擊與不對稱的利率轉嫁」,台灣經濟預測與政策,第45 卷第2期,2009 年,頁 189-235。

張惠萍,「利率期限結構非線性平滑轉換誤差修正模型之分析」,淡江大學財務金融研究所碩士論文,2004年。

馮惠珊、余惠芳、高偉娟,「臺灣重貼現率對所得利率物價匯率關聯性之探討」,華人前瞻研究, 第9卷第1期,2013 年,頁1-14。

Aziakpono, M. J. “Financial Integration amongst the SACU Countries: Evidence from Interest Rate Pass-through Analysis", Journal for the Studies in Economics and Econometrics, Vol. 30(2), 2006, pp.1-23.

Deschamps, P. J. “Comparing Smooth Transition and Markov Switching Autoregressive Models of US Unemployment", Journal of Applied Econometrics, Vol. 23, 2008, pp.435-462.