日本量化寬鬆政策之總體經濟效果

本文以時間序列方法，檢定日本自2000年以來共三次貨幣量化寬鬆政策（Quantitative Easing Policy）對日本總體經濟之影響，檢定期間為2000年1月至2014年11月，共10組日本總體實質面數據：貨幣供給、日圓兌美元匯率、國庫券利率、抵押借款利率、通貨膨脹率、國內生產毛額、消費、投資、進口、及出口，進行定態檢定（Stationariy Test）、Johansen共整合檢定（Johansen Cointegration Test），與Granger因果檢定（Granger-Causality Test），以期能分析各時間序列變數之間可能的因果關係，最後將本文的實證結果與日本已實施的量化寬鬆政策、及正在實施中的量化寬鬆政策，相互比對並提出本文看法。本文實證結果發現在檢定期間，日本的貨幣供給對於國內生產毛額有著顯著的正向效果，且與進口、出口有顯著反向關係，隱含當日本央行實施量化寬鬆政策時，對於日本經濟的牽動是有效果的；除此之外，日本抵押借款利率對國民生產毛額、國庫券利率、進口、及出口有顯著正向相關；在匯率方面，並未發現貨幣供給對日圓兌美元匯率有顯著的因果關係，此結果亦可能是因量化寬鬆政策的時間遞延特性，造成政策效果在本文研究期間尚未發酵所導致。

關鍵字

貨幣量化寬鬆政策；貨幣供給；國內生產毛額；匯率；進口；出口

並列摘要

The purpose of this research is to examine the impacts of three round of Japan quantitative easing policy on the macroeconomic, by using time-series approaches in the period of January 2000 to November 2014. The standard time-series method: stationarity test, Johansen cointegration test, and Granger-causality test are employed to inspect the relationships among ten variables (money supply, JPY/USD exchange rate, financing bill rate, lending rate, inflation rate, gross domestic product, consumption, investment, import, and export) in this paper. My empirical results finds that money supply has positive and significant effect on GDP and has negative effect on exports and imports, which implies quantitative easing policy may improve Japanese macroeconomics. Besides, lending rate also has positive and significant impact on GDP, financing bill rate, imports and exports. However, the empirical result of this paper shows that there is no Granger-causality relationship between money supply and JPY/USD exchange rate. The reason is probably due to the delayed appearance of quantitative easing policy, which resulted in no effect during the period of research.