貨幣政策與電子業廠商投資之動態關連性分析

本文探討貨幣政策對大小廠商投資之影響與衝擊分析，運用共整合、向量誤差修正模型、Granger因果關係檢定及衝擊反應函數和預測誤差變異數分解等方法探討此議題。過去許多文獻均支持當政府採行貨幣政策時，顯著地影響銀行借貸。根據資本市場不完全理論，大小廠商對於同樣的利率變動，產生不對稱的投資決策，文獻上並無明確的實證分析探討貨幣政策變動時，對大小廠商長短期投資之影響與衝擊。本文擬用電子業廠商的資料，探討貨幣政策變動實際上對於電子業廠商投資的影響。主要的發現爲：(1)以重貼現率作爲貨幣政策指標時，對於廠商投資衝擊影響較以隔夜拆款利率來的大，不同的政策工具，對於廠商投資將有不同的效果；(2)緊縮性貨幣政策對大廠商長期投資有正的衝擊，對於大廠商的短期投資有負的衝擊；緊縮性貨幣政策對小廠商而言，不論長期投資或短期投資，均有正的衝擊，小廠商對於短期利率的變動較不敏感；(3)長期投資、短期投資與貨幣政策之間具有長期均衡關係；(4)貨幣政策變動對小廠商長短期投資有著領先的關係存在；(5)貨幣政策對於小廠商的變異解釋能力高於大廠商，對小廠商的影響與衝擊高於大廠商。

關鍵字

貨幣政策；衝擊反應函數；重貼現率；資本市場不完全理論

並列摘要

The purpose of this paper is to shed light on the relationship between interest rate, short-run and long-run investment. Monetary policy may affect firm's investment through the movement of interest rate by bank channel. Using cointegration, vector error correction model (VECM), impulse response and variance decomposition techniques to analyze this issue. We use interbank overnight call-loan rate and the discount rate as monetary policy tools, and divide the scale of firms into large firms and small firms by Employees in electronic industry. The empirical results show that: (1) the interbank overnight call-loan rate and the discount rate have positive effect on short-run investment. Monetary policy contributes negatively to long-run investment of large firms but positively on long-run investment of small firms. In contrast, the long-run effect of interest rate movement is more ambiguous; (2) The different monetary policy tool will make different effect on firm investment behavior. The interbank overnight call-loan rate has greater effect than discount rate; (3) There exists a long-run equilibrium relationship between long-run investment, short-run investment and interest rate; (4) The findings suggest that the direction of causality is from interest rate to investment of small firms; (5) The forecast error variance of small firm investment can be explained more proportionally by monetary policy.