台灣貨幣政策財富管道之實證分析

The Study of Monetary Policy Wealth Channel in Taiwan

黃中奇(Chung-Chi Huang)

指導教授 ： 方振瑞

國立臺北大學/社會科學學院/經濟學系/碩士(2010年)

摘要

本研究主要探討台灣貨幣政策影響資產價格變動，進而對家計單位財富總值產生改變，另外，當家計單位財富總值改變時，是否會對實質消費產生影響。本文使用結構向量自我迴歸模型（Structural Vector Autoregressive，用SVAR簡稱），主要資料時間為台灣1981第一季至2009年第四季的季資料，主要是選擇六個變數來描述經濟體系的情況，選定的變數有物價、產出、消費、資產財富、利率與匯率。並且在同期變數間，給予一般的理論限制，用以研究台灣貨幣政策財富管道對經濟活動的影響。主要實證結果如下：

當政府實行緊縮性貨幣政策時，物價、產出、消費、資產財富皆出現明顯的下降。當資產財富產生上升衝擊時，造成物價、產出、消費與資產財富明顯的增加，匯率顯著下降。在模擬關閉財富管道的部份，可以發現關閉管道後，雖然衝擊反應並沒有超出關閉前正負一個標準差的區間，當消費對利率的衝擊反應出現對利率同幅度的上升衝擊下，消費減少的幅度也變小之情況。實質消費受其它變數所影響的比例，資產財富具有較大的影響力。資產財富變動以利率為主要影響資產財富變動的因素。對於利率變動而言，資產財富為最主要的解釋變異因素。

關鍵字

貨幣政策 ； 財富管道 ； 結構向量自我迴歸模型

並列摘要

This study discusses whether the circumstances that the monetary policy in Taiwan affects the variation of price at assets, and then change the calculation of the wealth of every household will make any impact on real consumption or not. The article applies the structural vector autoregressive (SVAR) model with the data in time for the first quarter of 1981 to the fourth quarter of 2009 in Taiwan, six variables chosen to describe the situation of the economy, which are price, output, consumption, wealth, interest rate and exchange rate, and place generalized limits among the variables contemporaneously as well, in order to investigate the impact by the wealth channels of monetary policy in Taiwan on economy activities. The followings are empirical results.

When the Government implements tight monetary policy, price, output, consumption and wealth decline significantly. When wealth increases to a shock, it apparently poses price, output, consumption and wealth to raise, and exchange rate to drop off. In addition, after shutting down of wealth channel under simulated situation, the impulse response function of consumption to interest rate shows when interest rate increases, consumption does not decease to the same extent as before although the impulse response does not overstep within an interval by one standard deviation.Real consumption tends to be influenced more easily by wealth, compared to other variables. Wealth changes mainly due to the variation of interest rate. Therefore, wealth does explain this variation of interest rate.

並列關鍵字

Monetary Policy ； Wealth Channel ； SVAR

參考文獻

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