資產價格與延伸泰勒法則非對稱性反應之探討

Asset Prices and an Extended Taylor's Rule: the Study of Asymmetric Policy Reactions.

李孟勳(Meng-Hsun Lee)

指導教授 ： 賴惠子

國立臺北大學/社會科學學院/經濟學系/碩士(2011年)

摘要

本文以傳統泰勒法則為基準，延伸探討1990年至2010年期間我國貨幣政策是否回應資產價格變動以及具有非對稱性反應行為。
實證結果顯示泰勒法則線性模型估計結果與文獻相同，再進一步加入資產價格變數時，股價變動的回應係數顯著，但數值很小，而房價成長率係數則不顯著。以房價成長率做門檻迴歸分析結果顯示在房市衰退期時，央行追求的是物價穩定且以降低利率來促使房價進一步的回溫；在房市回溫期時，央行擔心房市回溫連帶股票市場表現良好，進而造成景氣過熱之現象，央行不只控制經濟成長的速度，且在房價的抑制上也相當明顯。因此，本研究結果可看出央行的確關注房市的變化，且有不對稱的反應行為。

關鍵字

泰勒法則；門檻模型

並列摘要

Macroeconomists have been interested in modeling the central bank's reaction function for long times. The central bank's reaction function plays an important role in a wide variety of macroeconomic analyses. By estimating the central bank's reaction function, it let us know the way of adjusting monetary policy and forecasting that changes in the central bank's policy instruments effect on other policy actions.

This paper uses Taylor’s rule and applies Hansen (2000) threshold model to examining whether monetary policy asymmetries exist in central bank’s reaction function. Sample period is from 1990 to 2010.The main findings of this study are stated as follows. First, the linear model can better describe the expectation of Taylor’s rule when the model takes account of asset prices. Second, only housing price growth rate has significantly threshold effect in the threshold model. Further, we find that central bank focuses on price stability when housing price growth ratio is below the threshold value but focuses on output gap, stock price and housing price growth ratio when housing price growth ratio is above the threshold value.

並列關鍵字

threshold model

參考文獻

林淑華，(2008)，「我國央行貨幣政策反應函數與資產價格之實證研究」，國立清

葉翔渝，(2008)，「我國貨幣政策反應函數之非對稱性」，國立清華大學經濟學系

Ball, L. (1999) ,”Policy Rules for Open Economics,” University of

Batini, N. and Haldane, A.G. (1999) ,” Forward-looking Rules for

Monetary Policy.” NBER working paper, No. 6543.