金融中心與非金融中心貨幣政策反應函數之不同

The Reaction Function Differences between the Financial and Non-Financial Centers

郭書岑(Shu-Tsen Kuo)

指導教授 ： 沈中華

國立臺灣大學/管理學院/財務金融學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10136

摘要

論文摘要
本研究欲依據不同國家金融發展成熟度之不同，探討其央行在貨幣政策的反應上是否將有不同的考量，尤其另加入外人證券投資 (foreign portfolio investment) 此變數與央行之貨幣政策之間的關係進行研究。外人證券投資此項目之流入為較易被央行視為可能成為所謂「熱錢」 (hot money) 之來源，因而除了針對一般與貨幣政策反應函數較為相關之變數進行討論外，本研究亦欲進一步探討，依國家金融發展程度之不同，央行在貨幣政策之制定上，針對外人證券投資，此項較易成為或被視為各國央行所謂熱錢的變數，是否會因此有不同之反應函數表現。
經由實證分析結果，本研究發現，對於金融中心國家而言，其央行之貨幣政策反應函數主要仍針對通膨、GDP成長率及失業率三因子進行控制，尤其在本研究之實證中，失業率此變數在大多數金融中心國家樣本中皆具顯著性。而針對本研究另加入之國際收支帳餘額及外人證券投資兩變數，在多數金融中心國家皆不具顯著性。針對外人證券投資項，由實證結果多不具顯著性，會甚而有少部份國家出現正向之顯著性可推論，相對來說，對於金融中心國家而言，其對於資本流入，尤以本研究所使用之外人證券投資之資本流入，其採取較開放之政策態度。
而在非金融中心國家方面，由結果發現，因其國家之發展性質，其國家央行主要針對通貨膨脹此變數進行管控。而在外人證券投資此變數上，因本研究所採用之樣本國家對於資本管制，甚或所謂熱錢流入之管控係採取以量而非以價之干預方式，且部份國家對於熱錢管制之積極作為為近期始採行之政策措施，因而實證結果並不具顯著性。另臺灣之實證結果發現，臺灣央行主要亦對通膨、GDP成長率及失業率三變數進行控制，然本研究亦發現，在多數結果中，相較於加入失業率變數之模型，通膨項及GDP成長率項之係數在未加入失業率變數之模型中相對較具顯著性。在外人證券投資項上，臺灣在部份模型中具有負向之顯著性，依此實證結果，本研究因而進一步推論，相對於金融中心國家，本國央行對於外人證券投資項之資本流入採行較趨保守之政策。

關鍵字

貨幣政策 ； 外人證券投資 ； 熱錢 ； 反應函數 ； 金融中心

並列摘要

Abstract
In the thesis, we focus on the discussion of the reaction function differences between the financial and non-financial center countries. Especially, we add the variable, foreign portfolio investment, which is prone to be regarded as the main source of hot money, in our model for trying to further distinguish the different reaction the central bank would take when facing the hot money between financial and non-financial center countries. Based on our results, we find that, for financial center countries, the central bank’s monetary policy mainly focuses on the control of inflation, GDP growth, and unemployment rate. Especially, the coefficient of unemployment rate shows consistently significance in almost all financial center countries. And for the coefficients of balance of payment and foreign portfolio investment variables, both show no obvious significance in our results. Therefore, we further imply, for financial center countries, when facing the probable hot money inflows, the central bank tends to take an open policy towards them. For non-financial countries, based on our results, due to their economic environment, the central bank mainly focuses on the control over the high inflation problem. And for the foreign portfolio investment variable, we find that, due to the countries in our sample take a monetary base control rather than price control over the hot money inflows. Therefore, we find no strong negative significance which we expect to see in our results. For Taiwan, we find the central bank focuses on the control of inflation, GDP growth, and unemployment rate. Besides, we further find that, compared to the model without the unemployment variable, the inflation and GDP growth show smaller significance in the model with it. And for the foreign portfolio investment variable, some of the results show negative significance, which contradicts to our expectation for financial center countries. Therefore, we further imply that, Taiwan’s central bank holds a comparably conservative policy when facing the probable hot money inflows than the financial center countries.

並列關鍵字

Monetary Policy ； Foreign Portfolio Investment ； Hot Money ； Reaction Function ； Financial Center

參考文獻

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