公開市場操作之流動性效果－台灣實證

The liquidity effect of open market operation in Taiwan

鄒芳蘭(Fang-Lan Tsou)

指導教授 ： 顧廣平 ； 林允永

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00052

摘要

本研究同時使用2001年2月1日至2009年12月31日之月資料與日資料，探討央行公開市場操作是否能有效影響隔夜拆款利率，即流動性效果；並比較何者可得到較符合流動性效果理論的影響係數。另以金融海嘯關鍵日2008年9月15日為資料的分割點，觀察央行的公開市場操作是否有結構性改變；即央行於該日後，是否有異於往常而更積極的進行公開市場操作，以有效控制隔夜拆款利率。 實證結果顯示，日資料可得到較符合流動性效果理論的影響係數。公開市場操作中價的工具（定期存單平均利率），大體能有效影響隔夜拆款加權平均利率。至於公開市場操作中量的工具（市場資金缺口；即定期存單淨回收額，流動性）對隔夜拆款加權平均利率的影響，則大體不顯著，表示公開市場操作缺乏流動性效果。金融海嘯關鍵日後，公開市場操作中價的工具，有顯著的結構性改變；量的工具則沒有顯著的結構性改變。

關鍵字

公開市場操作 ； 流動性效果 ； 隔夜拆款利率

並列摘要

This study used both the monthly and daily data from Feb. 1, 2001 to December 31, 2009 to explore the liquidity effect of central bank’s open market operation on overnight rate. In addition, we also examine that the central bank's open market operations have a structural change or not, during the financial tsunami period, which division point of the data was 15 September, 2008 (the key day of the financial crisis). In other words, it was observed that whether the central bank after that day had unusual and more active open market operations to effectively control the overnight rate.
The empirical results show that daily data get more in line with liquidity effects theory of coefficients. On the whole, the price instrument of open market operations (average interest rate of certificates deposit) affects overnight weighted average interest rate effectively. The quantity tools of open market operations (market funding gap; certificates of deposit's the amount of the net recovery, liquidity) on overnight weighted average interest rate effects are generally not significant. In other words, open market operations lack liquidity effects. After the key day of the financial crisis, the open market operations in the price of tools have significant structural changes while amount of tools have no significant structural change.

並列關鍵字

open market operation ； liquidity effect ； overnight rate

參考文獻

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