量化寬鬆政策、貨幣供給溢量與貨幣流動性

本文旨在以實證與理論兩個角度，分析美國自2009年起所實施的各期貨幣量化寬鬆(Quantitative Easing; QE)政策，對美國長短期公債利率與貨幣流動性之影響。首先本文以時間序列實證分析，發現美國在2009年實施貨幣量化寬鬆政策之前與之後，美國國內貨幣供給與短中期公債利率均維持負相關，但貨幣供給與長期公債利率的關係在量化寬鬆政策實施前為負相關，在政策實施後卻轉為正相關。其次，本文由實證結果推測實施貨幣量化寬鬆政策對於美國房屋價格之回升可能有所助益。再者，本文發現自2009年起所實施貨幣量化寬鬆政策之後，美國所有到期政府公債對於貨幣供給變動率之影響皆由負向轉為正向關係。　　為探究美國量化寬鬆政策前後，美國貨幣供給溢量與貨幣流動性的差距，與造成此差距的構成要素，本文另設定兩個理論模型加以相互比較。第一個為未考量QE環境參數之理想性模型，第二個模型為考慮QE環境參數所設立之理論模型，這些QE環境參數都是由前述實證結果所獲得。本文依未實施貨幣量化寬鬆政策前、實施QE1及QE2、和實施QE3三種情況做討論。　　本文發現，未實施貨幣量化寬鬆政策前，因為美國聯邦準備理事會的資產持有大部分以政府債券為主，故貨幣的流動性最小。實施貨幣量化寬鬆政策後，在QE1與QE2時期，由於美國政府同時購買不動產抵押貸款證券與政府公債，故貨幣流動性會比只購買政府公債時的貨幣流動性為大。而在QE3時期，因為不動產抵押貸款證券數量已遠超過政府公債數量，如此導致QE3的貨幣流動性為最大。

關鍵字

貨幣量化寬鬆政策；不動產抵押貸款證券；政府公債；貨幣流動性

並列摘要

The purpose of this paper is to explain, in terms of empirical and theoretical aspects, the effects of US quantitative easing (QE) policy on money liquidity and the constant maturity rate of long-term and short-term treasuries. First, the time-series empirical results show that the negative relation of US money supply stocks and short- and medium-term constant maturity treasury rates remains before and after the implementation of QE policy. However, the implementation of QE policy turns the relation of US money supply stocks and long-term constant maturity treasury rate from negative to positive. Moreover, the evidence shows that the implementation of QE policy may help US housing prices to rise. Also, the paper finds that the impact of all kinds of US treasury securities on the variance of US money supply stocks turns to be positive after implementing QE policy. To explore the difference of excess US money supply and the difference of money liquidity before and after the implementation of QE policy, the research builds up two theoretical models to study the factors that cause such differences. The first model is purely ideal without considering any parameters from QE environment, and the second model is based on parameters from QE environment from my empirical results. The research then discusses three cases: (a) before the implementation of OE, (b) QE1 and QE2, and (c) the implementation of QE3. The paper shows that, the liquidity of money is the lowest before the implementation of QE because the most assets hold by the Fed are US treasury bonds. In the QE1 and QE2 period, the liquidity of money is higher than that before the implementation of QE because the Fed simultaneously purchases mortgage-backed securities and treasury bonds during QE1 and QE2. During QE3, the amount of mortgage-backed securities hold by the Fed is much larger than the amount of treasury bonds, which leads the liquidity of money to be the highest.