歐元區貨幣政策傳導機制

Monetary Policy Transmission Mechanism of Euro-Zone

江季翰(CHI-HAN CHIANG)

指導教授 ： 程智男

國立臺北大學/社會科學學院/經濟學系/碩士(2016年)

摘要

近年來歐元區經濟成長緩慢，歐元區之物價指數始終沒有達到央行之設定目標2%，因此央行利用降低政策利率以影響市場與民眾之行為，期望達到穩定物價以及經濟成長的目標，然而歐洲央行自2012年7月5日起宣布政策利率為零，2016年3月其政策利率更來到-0.4%，零利率與負利率之政策是以往較少見之貨幣政策，故本研究希望探究此政策環境之貨幣政策傳導機制有何影響。
本文採用歐元區之總體月資料，以工業生產指數、短期利率、HICP物價指數、MSCI歐元區股價指數、實質有效匯率指數為變數，並以2012年7月作為前後分界之兩組實證模型，使用向量自我迴歸模型(vector autoregression)分析，並觀察衝擊反應函數之表現。
實證結果顯示，若各變數在相同衝擊下零利率以下前後之走勢一致，其衝擊反應之程度有變小，且反應有提早收斂至零之現象，顯示在零利率以下之政策環境，貨幣政策傳遞效果較為減弱，與以往之研究結果一致，而本研究也得出，當通膨率受到利率衝擊時，仍有部分期數有上漲現象，表示仍無法完全消除物價迷惑之現象。
最後本研究亦建議可待樣本數足夠時，研究目前政策利率為負的國家其貨幣政策傳導機制，以及模型加入中間目標變數或者加入時間分段點的虛擬變數來探討貨幣政策傳導的動態過程。

關鍵字

貨幣政策傳導機制 ； 零利率 ； 負利率 ； 歐元區 ； 向量自我迴歸

並列摘要

In recent years, the euro area has lower economic growth, the euro area price index has not reached the set target of 2% of the Europe Central Bank(ECB), thus cutting down the policy rate of ECB to influence the behavior of the market and the people, it is desirable to achieve price stability and economic growth targets. However, ECB announced that since July 5, 2012 has been a zero policy rate , in March 2016 its policy rate further to 0.4%, because the policy of zero interest rates and a negative interest rate of the monetary policy in the past rare, so this study is to explore this monetary policy environment What is the impact of the transmission mechanism.
In this paper takes the euro zone's overall monthly data, the index of industrial production, short-term interest rates, HICP price index, MSCI Eurozone stock index, the real effective exchange rate index for the variable, and in July 2012 as the boundary of the two groups “before the zero interest rate”and “after the zero interest rate” of the empirical model, using vector autoregressions analysis, and observe the performance of the impulse response function.
The empirical results show that if the variables have consistent trend of “before the zero interest rate”and “after the zero interest rate”, the extent of the reaction of its impact has become smaller, and the the impulse response has convergence to zero earlier.It show that monetary policy transfer the effect is declined if the policy rate less than or equal zero. That consistent with the previous studies. This study also concluded that when the inflation rate is subject to interest rate shock, the impulse response function of the inflation rate increase in some periods, and can not completely eliminate Price Puzzle.
Finally, this study also recommends that if the number of samples can be enough, we can study the current policy interest rate is negative country whose monetary policy transmission mechanism. And construct a model to join the intermediate target variables or add time-phased dummy variable to explore the dynamics of the monetary policy transmission process.

並列關鍵字

Monetary Policy Transmission Mechanism ； Euro-Zone ； ZIRP ； vector autoregression

參考文獻

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