以因子擴增向量自我回歸模型估計台灣貨幣政策之衝擊反應函數

Impulse Response Analysis in Taiwan Using Factor-Augmented Vector Autoregressive Method

林世昕(Shih-Shin Lin)

指導教授 ： 陳俊志

國立臺北大學/社會科學學院/經濟學系/碩士(2009年)

摘要

中央銀行對於一國的金融發展、物價匯率穩定、健全銀行和經濟成長的影響相當重大，中央銀行藉由操作貨幣政策工具，來達成以上的目標。台灣中央銀行的貨幣政策對於台灣其他經濟變數的影響，是本文關心的重點。

本篇論文應用Bernanke, Boivin and Eliasz (2005) 所建立的因子擴增向量自我回歸模型 (Factor-Augmented Vector Autoregressive Approach)，簡稱為FAVAR方法，來估計台灣貨幣政策對於台灣經濟變數的衝擊反應影響。我們利用98個台灣的季資料，資料期間從1981年第1季到2007年第4季，去估計台灣貨幣政策對於這些變數的衝擊反應函數。並且分析台灣貨幣政策對於經濟活動的影響。

在衝擊反應圖中可以看出，當產生緊縮性貨幣政策衝擊時，對工業生產指數是持續負向的影響。而利率上升的衝擊使的物價呈現持續性下降的影響，解決了傳統VAR的價格迷惑 (price puzzle) 問題。對貨幣數量呈現立即顯著的減少、對於匯率是先升值後貶值。對於政府公債是負向的變動，顯示央行有做穩定匯率的行動。

最後我們和傳統的VAR和SVAR方法做台灣資料上實證的比較，我們發現使用FAVAR方法能夠解決實證上的物價迷惑問題，因子擴增向量自我回歸模型方法提供了一個我們得到更符合經濟理論的結果。

關鍵字

因子擴增向量自我回歸模型；衝擊反應函數

並列摘要

This article examines the effects of monetary policy in Taiwan from 1981 through 2007 using Factor-Augmented Vector Autoregressive Model (FAVAR) that is developed in Bernanke, Boivin and Eliasz (2005). One advantage of FAVAR is that we are able to obtain all impulse responses from every variable included in the dataset. Our data contain 108 quarterly time series for Taiwan from 1981Q1 to 2007Q4. In the impulse response analysis, we find that FAVAR approach can solve price puzzle, which is found in conventional vector autoregressive methods. In our model, a contractionary monetary shock results in a negative impact on monetary aggregate and output, which is consistent to economic theory. Moreover, the response of exchange rate first appreciates and then depreciates after a positive monetary shock. From the impulse response analysis, we find that FAVAR approach can solve price puzzle in Taiwan data. Use FAVAR approach can obtain all impulse response function from every variable. And we can find the implication of contractionary monetary shocks, it have a negative effect on monetary aggregate and output. Exchange rate will first appreciation and then depreciation.

並列關鍵字

Factor-Augmented Vector Autoregressive Model ；Impulse Response Function

參考文獻

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