中央銀行溝通政策對台灣利率與匯率之影響

The Communication Effect of the Central Bank of Taiwan on Interest Rates and Exchange Rates

康濟虹(Chi-Hung Kang) ； 王泓仁(Hung-Jen Wang) ； 陳南光(Nan-Kuang Chen)

《經濟論文叢刊》 45卷3期 (2017/09) Pp. 421-452

https://doi.org/10.6277/TER.2017.453.2

摘要

本文將台灣央行溝通政策實施方式，以「央行理監事會後發布之新聞稿」及「央行官員在媒體上的發言」兩種不同角度做分類，在每一種分類中，細分出「貨幣政策」、「匯率政策」、「經濟前景」等至多三種溝通政策內容，並以計量模型估計它們對利率及匯率的影響。若溝通政策的內容能有效揭露資訊，則我們預期在新聞稿或媒體新聞發布的當日或隔日，將引起市場上利率或匯率的變動，且變動方向應與政策意涵一致。資料顯示，央行鮮少在理監事會議後的新聞稿中對匯率走勢做出明確宣示，但新聞媒體中有關央行官員發言的報導，內容多數與匯率相關。實證結果顯示央行與匯率相關的政策溝通，並不能顯著地影響匯率走勢，但是與貨幣政策相關的內容，則對於多種利率都具有合乎理論預期的影響。此結果顯示，央行的確能利用溝通政策，顯著影響國內貨幣市場的利率，但對匯率的影響，則較不顯著。

關鍵字

中央銀行 ； 透明度 ； 溝通政策

並列摘要

This paper studies the communication policy of the central bank of Taiwan. We analyze the issue by categorizing the central bank's communication efforts into ＂news releases after the Board of Governors' meetings＂ and ＂talks of central bank's officials in the media.＂ We further decompose the communications into three sub-categories: monetary policy, exchange rate policy, and economic perspectives, to estimate their respective effects on interest rates and exchange rates. IF communication policy is effective in terms of revealing new information to the market, then we would expect to observe significant changes in interest rates or exchange rates on the day the news is released or one day after, and the changes should be consistent with what policy makers had intended. Data show that the central bank of Taiwan seldom clearly indicates the potential movement of exchange rates in news releases after the Board of Governors' meetings. Nevertheless, media reports suggest that officials frequently communicate with the market on exchange rate related issues. We also find that communications about exchange rates do not significantly affect the movement of the exchange rates, while most communications concerning monetary policy significantly affect various market interest rates.

並列關鍵字

central bank ； transparency ； communication policy

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