情緒因子在貨幣政策傳遞過程中所扮演的角色－結構因子擴充向量自迴歸模型之應用

The Role of Sentimental Factor in Monetary Policy Transition-Evidence from Structural Factor-Augmented VAR

郭迺鋒(Nai-Fong Kuo) ； 林祝吉(Chu-Chi Lin) ； 劉名寰(Ming-Huan Liou) ； 林崑峯(Kuen-Feng Lin)

《台灣金融財務季刊》 11卷4期 (2010/12) Pp. 67-103

https://doi.org/10.6985/TBFQ.201012.0067

摘要

消費者（市場）心理影響貨幣政策傳遞效果嗎？在Akerlof and Shiller(2009)所著的「動物精神」(Animal Spirits)一書中指出，「信心」(Confidence)在總體經濟的運作過程中扮演著重要的角色。Cecchetti et al.(2009)亦指出，消費者、企業及投資人的信心是此次全球金融危機的主要傳遞管道之一；因此，貨幣政策傳遞效果是否受到消費者（市場）情緒(Sentiment)的影響而有所不同，是本文所欲探討的議題。本文建構台灣「結構因子擴充向量自迴歸模型」(Structural Factor-Augmented VAR, SFAVAR)，探討情緒因子在貨幣政策傳遞過程中所扮演之角色，模型總計包含295個國內外總體經濟變數；此外，本文使用FAVAR模型，刻畫情緒因子組成變數之間的互動關係。本文實證結果顯示，情緒因子對我國貨幣政策傳遞具若干影響，在模型考慮情緒因子的情況下，緊縮性貨幣政策對「通貨膨脹因子」及「貨幣因子」具有抑制效果，而新台幣實質有效匯率受到利率上升衝擊下呈現升值走勢。值得一提的是，當模型考慮了情緒因子時，短期間央行緊縮性貨幣政策對「金融市場因子」所造成的衝擊大於忽略情緒因子的結果，顯見在探討貨幣政策傳遞效果時，心理因素在其中所扮演的角色值得關注。

關鍵字

情緒因子 ； 貨幣政策傳遞機制 ； 動態因子模型 ； 結構因子擴充向量自迴歸模型

並列摘要

Does consumer or market sentiment affect the transmission of monetary policy? Akerlof and Shiller point out that confidence plays an important role in the macroeconomic operation in their book ”Animal Spirits”. Cecchetti et al. (2009) also figure out that consumers, firms, and investors confidence are one of the main channels to transmit the global financial crisis burst out in 2008. The main purpose of this paper is to investigate whether or not the monetary policy transmission is influenced by the consumer or market sentiment. Structural Factor-Augmented VAR (SFAVAR) is exploited to examine the role of the sentimental factor in the monetary policy transmission. The empirical result shows that the sentimental factor does have effects on monetary policy transmission. When the model contains sentimental factor, the tight monetary policy has inhibitory effect on ”inflation factor” and ”monetary factor”. In addition, the rising of interest rate makes the real exchange appreciate. It is worthy to mention that when the model considers the sentimental factor, in the short term, the tight monetary policy has stronger effects on ”financial market factor” than without the sentimental factor. Therefore, when the effects of monetary policy are explored, the psychological role should be considered.

並列關鍵字

Sentimental Factor ； Transmission Mechanism of Monetary Policy ； Dynamic Factor Model ； Structural Factor-Augmented VAR

參考文獻

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