摘要
本文主要探討的議題是，貨幣當局納入資產價格或者包含資產價格資訊的物價指數做為貨幣政策的考量，對於穩定經濟波動是否有幫助?我們使用1998年第一季至2010年第二季台灣研究資料，並且採用前瞻性泰勒法則做為模型研究基礎，估計以下四種模型，分別為(1)原始泰勒法則模型、(2)以包含房價訊息的動態均衡物價指數(DEPI)做為政策指標、(3)以房價取代消費者貨物籃中的房屋租金項目、以及(4)納入房價做為泰勒法則反應變數。首先，我們使用一般化動差法與模型預測能力的檢定，發視我國央行可能採行的政策法則為模型一。意即我國央行目前政策未考慮房屋價格的波動或者使用包含房價資訊的物價指數做為政策指標。 其次，我們採用貨幣政策損失函數評估模型穩定經濟波動的能力。估計結果指出模型二是相對上最具有穩定經濟波動的能力。而模型四直接將房價作為政策反應變數，因應波動劇烈的房價變化，使其穩定經濟波動的能力為四種模型中最差的模型。 但由於DEPI在文獻上仍存在爭議性，我們退一步比較模型三與模型一，比較結果發現此模型相對上具有不錯的穩定經濟波動的能力。此外，模型三以房價取代房租項目重新設算消費者物價的方法相對簡易，並且能夠適度矯正目前使用的消費者物價指數對於生活成本反映的偏誤。
並列摘要
Is consumer price index a good policy target? How will the monetary policy act if we include the asset price as a variable of monetary policy? These are the main problems we considered. There are four models in the thesis. First, we use generalized method of moments to estimate the monetary policy adopted by Taiwan’s central bank. Second, we use the quadratic loss function to evaluate the stability of monetary policy. We consider Dynamic equilibrium price index (DEPI) as the variable predicting inflation in the future. The model is the smallest loss of four models. And the model which including housing price in the monetary policy directly is the biggest loss of four models. But there is controversy over DEPI. We use housing price to replace rent item in CPI basket of goods. The result points out that the model has less loss than original Taylor’s rule. It also means that using asset price in CPI basket of goods may be a good policy index.
參考文獻
吳聰敏、陳旭昇(2010)，｢台灣貨幣政策法則之檢視｣，中央研究院經濟研究所經濟論文，頁33－59。
Alchian, Armen A. and Benjamin Klein (1973), “On a Correct Measure of Inflation,”Journal of Money, Credit and Banking, 5(1), 173－191.
Bernanke, Ben S. and Mark Gertler (1999), “Monetary Policy and Asset Price Volatility,”Economic Review, 18－51.
Goodhart, Charles (2001), “What Weight Should Be Given to Asset Prices in the Measuring of Inflation,”The Economic Journal,111, 335－356.
Goodhart, Charles and Boris Hofmann (2000), “Do Asset Price Help to Predict Consumer Price Inflation,”Working paper, London School of Economics.
延伸閱讀
- Chang, T. H. (2011). 資產價格、違約風險與貨幣政策 [doctoral dissertation, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2011.02582
- 范志萍、蕭明福（2014）。資本結構、財政政策、貨幣政策與經濟成長。經濟論文，42(4)，527-597。https://www.airitilibrary.com/Article/Detail?DocID=1018161x-201412-201501160027-201501160027-527-597
- Chen, Y. C. (2011). 資產配置與貨幣供給 [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2011.10340
- 陳妍蒨、張德存、林佑龍（2020）。資產流動性、失業與貨幣政策。經濟論文叢刊，48(1)，107-136。https://doi.org/10.6277/TER.202003_48(1).0004
- 趙俊豪（2010）。The Effect of Monetary Policy and Fiscal Policy on the Price Level〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2010.00852