臺灣央行溝通政策對貨幣市場之影響

The Impact of the Central Bank's Communication Policy on the Money Market in Taiwan

蘇倚萱(Yi-Syuan Su)

指導教授 ： 李顯峰

國立臺灣大學/社會科學院/經濟學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202203062

摘要

本文研究目的為探討臺灣中央銀行貨幣政策溝通策略傳遞的有效性，亦即分析央行的溝通政策是否會對金融市場造成影響。本研究樣本期間自2007年1月起至2022年3月止的日資料，共計3,757筆觀察值，以「央行理監事會議後發布之決議新聞稿」作為貨幣政策溝通工具，將新聞稿內容分為「經濟前景」、「貨幣政策」兩種溝通政策內容，應用GARCH模型估計政策溝通對貨幣市場的引導效果。實證研究結果顯示，貨幣政策及經濟政策前景的聲明皆無法顯著影響貨幣市場利率走向，但能引起利率的波動，且溝通事件對長期利率的變異無顯著影響，顯示央行貨幣政策溝通並無法有效形塑市場預期，央行應強化溝通使其政策意圖與民間的預期一致。

關鍵字

中央銀行 ； 溝通政策 ； 透明度 ； 貨幣市場

並列摘要

This study is to examine whether the central bank's communication policy has any impact on the financial market in Taiwan. The sample data are from January 2007 to March 2022, and have 3,757 observations. The press releases of the "Monetary Policy Decision of the Board Meeting" is used as a communication tool, and the statements of the press releases are classified as two types: "economic outlook" and "monetary policy". We apply a GARCH model to estimate the guiding effect on the money market interest rates. The major empirical findings show that neither the statement regarding monetary policy nor economic outlook have significant impact on the changing direction of interest rates in the money market but have influence in interest rate volatility, while the communication policy has no significant effect on the variation of long-term interest rates. The results seem to reveal that the monetary policy communication strategy of the Central Bank of Taiwan is not effective in guiding market expectations, and the central bank would have to strengthen communication to align their policy intentions with the expectations of the public.

並列關鍵字

Central Bank ； Communication Policy ； Transparency ； Money Market

參考文獻

高崇瑋、萬哲鈺, 2012. 台灣短期利率指標之研究. 應用經濟論叢 92, 23–58.

康濟虹、王泓仁、陳南光, 2017. 中央銀行溝通政策對台灣利率與匯率之影響. 經濟論文叢刊 45, 421–452.

黃富櫻, 2006. 央行貨幣政策操作的重要工具：溝通政策. 中央銀行季刊 28, 43–80.

Andersson, M., Dillén, H., Sellin, P., 2006. Monetary policy signaling and movements in the term structure of interest rates. Journal of Monetary Economics 53, 1815–1855.

Bernanke, B.S., Kuttner, K.N., 2005. What explains the stock market’s reaction to federal reserve policy? The Journal of Finance 60, 1221–1257.