金融情勢指標建構與央行利率法則之探討

Financial Conditions Index and Interest Rate Rule in Taiwan

楊喻翔(Yough-Hsiang Yang)

指導教授 ： 賴惠子 助理教授

國立臺北大學/社會科學學院/經濟學系/碩士(2012年)

摘要

本文參酌貨幣當局執行貨幣政策時，會多方蒐集有關的經濟與金融資訊為決策的參考，據此納入貨幣市場、外匯市場、股票市場、房地產市場、原物料市場以及金融量化指標，以2001年1月至2010年12月之月資料，透過VAR模型與一般化衝擊反應計算金融情勢指標的權重，並以權重加總法的方式編製金融情勢指標。接著，再將建構的金融情勢指標加入泰勒法則，以此延伸的泰勒法則代表台灣央行的貨幣政策決策模式，並以GMM估計延伸泰勒法則，以瞭解加入金融情勢指標後的利率法則是否更能掌握實際利率的走勢。
實證結果顯示，加入金融情勢指標變動率的延伸泰勒法則，GMM估計結果金融情勢指標變動率的係數顯著，表示加入金融情勢指標變動率的延伸泰勒法則更能印證我國央行貨幣政策的決策模式。唯加入金融情勢指標變動率後，產出缺口的係數(βY)變化較大，推測其原因，可能與本文以影響總需求的相關指標變數編製金融情勢指標有關，因此，後續研究有必要進一步思索，是否金融情勢指標與產出缺口有資訊重置的問題。

關鍵字

金融情勢指標 ； 向量自我迴歸 ； 一般化衝擊反應 ； 泰勒法則 ； 疊代動差法

並列摘要

In this paper, we consider that the monetary authorities collect economic and financial information to assist the implementation of monetary policy, and use this information for the money market, foreign exchange market, stock market, real estate market, raw material markets, and financial quantitative indicators. With the monthly data from January 2001 to December 2010, we derive the Financial Condition Index weights based on generalized impulse response functions from a VAR, and the Weighted-sum Approach. Then, we add the Financial Condition Index into the Taylor Rule, which represents the Taiwan central bank's monetary policy decision-making mode. The extension of the Taylor rule by using the GMM model estimation can help us understand whether adding the Financial Condition Index can better reflect the trend of real interest rates.
The empirical results show that the Financial Condition Index change rate in the extended Taylor rule is significant by the GMM model estimation. This means that including the Financial Condition Index change rate in the extended Taylor rule , can better reflect Taiwan central bank‟s monetary policy decision making mode. But, with the Financial Condition Index change rate , the output gap coefficient (βY) changed greatly. The reason may be attributed to the development of the indicators of the Financial Condition Index relating the aggregate demand variables. Therefore, the following study should further consider whether the Financial Condition Index and output gap have the problem of repeated information.

並列關鍵字

Financial Conditions Index ； VAR ； Generalized Impulse Response ； Taylor Rule ； Iterative Generalized Method of Moments

參考文獻

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