銀行間貨幣市場風險溢酬與利率政策效率之關聯性研究

The Interbank Risk Premium and the Spread Between Federal Funds Rate and Target Rate

馮祈安(Chi-An Feng)

指導教授 ： 陳淑玲

國立臺北大學/商學院/金融與合作經營學系/碩士(2014年)

摘要

在金融危機時美國銀行同業隔夜拆款利率 (即聯邦基金利率) 與目標利率的利差 (簡稱聯邦基金利差) 出現擴大的現象，根據Beirne (2012)、Soares 與Rodrigues (2010) 的研究，隔夜拆款利率與目標利率的利差可以做為利率政策效率的指標，聯邦基金利差擴大反映出美國聯邦準備理事會 (簡稱聯準會) 利率政策的實行效率降低。Beirne (2012) 針對歐元區的研究結果顯示，金融危機時銀行間貨幣市場的高風險是造成歐洲央行利率政策效率降低的顯著因素，其原因在於金融危機期間銀行間貨幣市場的風險溢酬升高會使銀行傾向於向短期的隔夜拆款市場拆借資金，進而造成隔夜拆款利率與目標利率的利差擴大。本研究同樣認為金融危機時銀行間貨幣市場風險升高是造成聯準會利率政策效率降低的因素，但是本研究認為聯準會在2008 年12 月開始啟動的量化寬鬆，有降低銀行風險與穩定金融體系的效果，因此風險造成利率政策效率降低的問題可以獲得改善。
為了分析銀行間貨幣市場風險溢酬與利率政策效率間的動態關係，本研究使用autoregressive distributed lag (ARDL) 模型，但考量到模型的內生性問題，本研究另外使用向量自我迴歸模型，並運用衝擊反應分析，探討風險溢酬預期外的變動對於利率政策效率的影響。此外，為了分析金融危機時與量化寬鬆實施時的效果，研究中將模型分為三段期間：金融危機前、量化寬鬆實施前、量化寬鬆實施後。研究結果指出，金融危機前，銀行間貨幣市場風險不會造成利率政策效率降低。量化寬鬆實施前，銀行間貨幣市場風險會導致利率政策效率降低。量化寬鬆實施後，銀行間貨幣市場風險對於利率政策效率的影響降低，因此在面對金融危機時，聯準會實施量化寬鬆有穩定聯邦基金市場的效果。

關鍵字

向量自我迴歸模型 ； 量化寬鬆 ； 金融危機 ； 聯邦基金利率 ； 風險溢酬

並列摘要

This research provides an empirical assessment of how the interbank risk premium affects the spread between federal funds rate and target rate before and during the financial crisis, and how the effect changes after quantitative easing 1 (QE1) is exercised. Specifically, we used autoregressive distributed lag (ARDL) model and Vector autoregressive (VAR) model, respectively, to examine their dynamic relationships based on three sub-periods, i.e., pre-crisis period, mid-crisis before QE1 and mid-crisis after QE1.
In line with the evidence of Beirne (2012) finding for Euro zone, we found that the interbank risk premium plays no significant role in determining the spread between federal funds rate and target rate before the financial crisis. However, our results suggest that the increasing risk premium during the crisis indeed widens the spread. And the effect of the risk premium on the spread is again reduced after the Federal Reserve implemented quantitative easing. This implies that quantitative easing may effectively reduce bank’s risks and further enhance the stability of financial system.

並列關鍵字

Financial crisis ； Federal funds rate ； Quantitative easing ； Risk premium ； VAR

參考文獻

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Beirne, J. (2012). The EONIA spread before and during the crisis of 2007-2009: The role of liquidity and credit risk. Journal of International Money and Finance, 31(3), 534-551.

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