利率轉嫁與貨幣政策傳遞─動態異質追蹤資料模型之應用

本文主要在研究台灣零售利率反應政策利率或官方利率變動的轉嫁效果，其中分別以放款利率以及存款利率代表零售利率，以隔夜拆款利率代表政策利率或官方利率。研究過程同時以時間數列之ARDL共整分析以及動態異質追蹤資料模型進行討論，實證結果顯示政策利率變化影響存款利率的效果小於一，具有不完全轉嫁效果。至於放款利率反應政策利率變化的效果則大於一。不論以時間數列或追蹤資料模型進行分析，以上的推論皆可以成立，這顯示本文的實證結果具有穩健性。

關鍵字

利率轉嫁； ARDL共整分析；動態異質追蹤資料模型

並列摘要

This research examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in policy rate or offical rate in Taiwan. By employing both the ARDL Cointegration model and Dynamic Heterogeneous Panel Model, the empirical results show the pass through from policy rate to deposit rate is less than one or incomplete and that for loan rate is greate than one. The above conclusions held under both the time series and panel data analysis indicate the inferences proposed in this research are robust.

並列關鍵字

Interest rate pass-through ； ARDL cointegration ； Dynamic heterogeneous panel model

參考文獻

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Altavilla C. and Landolfo L., 2005, “Do central banks act asymmetrically? Empirical evidence from the ECB and the Bank of England”, Applied Economics, Vol. 37, No. 5, 507 – 519.

Andrea Zaghini, and Serena Lamartina, 2011, “Increase Public Expenditure: Wagner’s Law in OECD Countries”, German Economic Review,12(2), 149-164.

Badi H. Baltagi & James M. Griffin & Weiwen Xiong, 2000, “To Pool Or Not To Pool: Homogeneous Versus Hetergeneous Estimations Applied to Cigarette Demand,” The Review of Economics and Statistics, MIT Press, vol. 82(1),117-126, February.

Bergin Paul R., and Feenstra Robert C., 2009, “Pass-Through of Exchange Rate and Competition between Floaters and Fixers”, Journal of Money, Credit and Banking, Vol. 41, No. 1.

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利率轉嫁與貨幣政策傳遞─動態異質追蹤資料模型之應用

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