探討泰勒法則下總體經濟風險對美貨幣政策適用性

The effect of Macroeconomic Risk on the applicability of Taylor's Rule to U.S Monetary Policy

鄭家琦(Chia-Chi Cheng)

指導教授 ： 柯大衛

淡江大學/國際研究學院/美洲研究所碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00004

摘要

自2007年8月金融危機起，金融機構間由於深恐交易對手風險影響，導致銀行體系之準備金無法即時轉換為貸款，故聯準會對銀行大舉融資，此舉雖提高貨幣的流通性，仍無法解決信用緊縮的問題，進而促使外界更加關注聯準會動向。本研究運用一般最小平方法探討1988年至2010年間，泰勒法則加入Baa-Aaa利差與泰德利差後，是否能有效改善或更準確地預測美貨幣政策的動向。泰勒法則為預測聯邦資金利率趨勢之模型，以貨幣政策兩項目標之產出缺口與通貨膨脹缺口變數作反應方程式，當物價實際值高於目標值時，應調高短期利率；當產出低於目標值時，則調降短期利率。迴歸結果顯示Baa-Aaa利差與資金利率間存在領先關係，且具有負相關性，此結果與預期相同，而泰德利差與資金利率因期間差異，產生正負兩極化的相關性反應，兩種反應可能與經濟情勢相關，至於將Baa-Aaa利差加入泰勒法則作2003年至2010年資金利率的預測基礎時，實證結果顯示其預測出較原本的泰勒法則更為準確的貨幣政策動向。

關鍵字

泰勒法則 ； Baa-Aaa利差 ； 泰德利差 ； 一般最小平方法 ； 聯邦資金利率

並列摘要

Taylor’s Rule has long been considered a reliable guide for the formulation of monetary policy. In the past, this rule suggested specific changes in short term interest rates determined exclusively by the behavior of inflation and real GDP relative to their desired values. However, the recent financial crisis and attendant economic downturn has forced scholars to consider whether this rule should be extended to include certain measures of macroeconomic risk. This thesis addresses the question of whether risk is an important factor in determining optimal US monetary policy. It does so by looking at how Taylor’s Rule is affected by the inclusion of certain risk measures, such as the TED spread and the Baa-Aaa spread on interest rates for the period 1988-2010. The inclusion of risk as an important part of the monetary rule is first broached by theoretical arguments using an elementary macroeconomic model. The issue is then approached empirically by looking at US data over the recent period. It is found that commercial risk, defined as the Baa-Aaa interest rate spread, is consistently negatively related to the Federal Funds rate – something which is not true of the TED spread. The TED-based risk measure has an unusually strong and positive relation with the Fed Funds rate over the early period of the sample, but shifts to a decidedly negative correlation during the latter part of the period. This makes the TED spread problematic for inclusion in Taylor’s Rule. It is found that the TED-based risk measure is sensitive to the timing business cycle. By contrast, inclusion of the Baa-Aaa rate spread as a risk measure in OLS regressions significantly improves the prediction of the Fed Funds rate and points to this spread as a preferred measure of risk to be added to the Taylor Rule in formulating monetary policy in the US.

並列關鍵字

Taylor’s Rule ； Baa-Aaa spread ； Ted spread ； Ordinary least squares ； Federal Funds Rate

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