臺灣貨幣政策傳遞管道探討:兼論貨幣政策操作工具溝通政策重要性

The Study of Transmission Channel of Monetary Policy in Taiwan: With the Analysis of the Policy Communication of Monetary Policy Instruments

陳素慧(CHEN, SUI-HUI)

指導教授 ： 陳達新

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2013年)

摘要

本論文為實證分析臺灣央行貨幣政策傳遞管道，以金融業隔夜拆款利率代表貨幣
政策工具代理變數，採用消費者物價指數等共八項變數資料，經由單根檢定、Johansen
共整合檢定、向量自我迴歸模型與誤差修正模型、Granger 因果關係檢定及衝擊反應
函數分析等時間序列計量方法，來分析貨幣政策傳遞管道，實證發現貨幣政策可以通
過多種途徑影響總體經濟變數且利率變動與總體經濟變數變動之間關係密切複雜，當
隔夜拆款利率調整後，1-30 天期的商業本票利率、股價指數及實質有效匯率指數均會
受到影響，且進一步影響總合需求。隔夜拆款利率正向衝擊對國民生產毛額與貨幣供
給量產生負向之影響，此完全符合理論預期，由此可看出隔夜拆款利率可視為緊縮性
貨幣政策的良好代理變數。但貨幣政策衝擊對整體銀行放款數量的影響並不顯著；甚
至，緊縮性的貨幣政策在短期內對銀行放款總量有正向的影響，而這些發現與貨幣信
用管道傳導機制的預測不盡相符，近年來，由於直接金融發達，銀行放款管道逐漸被
取代，且由於國內房市熱絡，銀行放款較致力於房屋貸款，資金未被導引至生產性投
資，似未使信用傳遞管道在我國經濟體系得以發揮效能。
文中再將預期心理因素加入討論，敘述分析貨幣政策設計方面的最新觀點，加強
貨幣政策對外溝通管道。從我國中央銀行透明度工作施行情形可看出，中央銀行亦漸
漸也順應了溝通這一潮流，隨電腦科技的創新與網際網路的普及，使得央行更容易對
外界溝通貨幣政策。目前全球化的趨勢似乎已造成各國央行貨幣政策執行效果及控制
能力下降之問題，因此央行在制訂及執行貨幣政策時，對於政策工具之選取及作法應
該更要具有彈性，若能再加上強力對外溝通貨幣政策，提高貨幣政策之透明度，向外
界充分說明央行採取之作法及立場，消弭通貨膨脹預期心理，提升央行之可信度，相
信良好的溝通不只能賦予央行貨幣政策操作顯著的效益，更能讓央行貨幣政策更快速
有效地充分達成預期目標。

關鍵字

貨幣政策傳遞機制管道 ； 向量自我迴歸模型與誤差修正模型 ； 貨幣政策溝通

並列摘要

This thesis discusses the transmission channel of monetary policy in Taiwan. We use the
following time-series econometrics tools, including Unit Root Test, Johansen Cointegration
Test, VAR, Error Correction Model, Granger Causality Test and Impulse Response Function
and eight variables to explore the effect of transmission channel of monetary policy. The
result showed that aggregate demand was influenced by multiple methods and the relation
was close between interest rate and aggregate demand. 30 day commercial paper rate, stock
price index and real effective exchange rate index (REER) was affected when central bank
adjusts overnight interbank call-loan rate. Furthermore, the aggregate demand was also
affected by previous effects. The positive impulse of overnight interbank call-loan rate
affected both real GDP and monetary supply reversely. Therefore, overnight interbank
call-loan rate would be regarded as a better proxy variable for discussing contractionary
monetary policy. Nevertheless, the influence of monetary policy impulse toward overall bank
loan was less significant. The contradionary monetary policy impulse toward short term
overall bank loan had positive effect. Those findings were not identical with the expectation
credit channel of monetary transmission Mechanism. The results also reflected that the
influence of credit channel was not significant in Taiwan.
Finally, we add brand new variable, psychological expectation, for monetary policy to explore
the policy communication and transparency of monetary policy. In order to neutralize the
effect of psychological expectation and enlarge the credibility of central bank, central bank
should increase the transparency of monetary policy as possible as they could and state its
stance toward the practices clearly. This would ensure that the private sector would react
properly toward the effect of economic situation. Hence, monetary policy would achieve its
outcomes and goals efficiently.

並列關鍵字

Transmission Channel of Monetary Policy ； Communication of Monetary Policy

參考文獻

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