小型開放經濟之貨幣政策法則—台灣的實證分析

MONETARY POLICY RULES IN TAIWAN

林鈺雯(YU-WEN LIN)

指導教授 ： 官德星

國立臺北大學/社會科學學院/經濟學系/碩士(2008年)

摘要

過去以來，央行屢次以對付通膨問題作為調升重貼現率的理由；然而，依照本研究所觀察的結果，發現在2008年3月以前，台灣地區的物價情形並非央行所述中需以升息抑制通膨，根據行政院主計處的計算，台灣在06年的8、9、10月與07年的5月及7月與前年相比之通貨膨脹率，皆為負值，若央行升息為因應通膨問題，那麼在通膨率為負值時，央行升息之原因必包含其他因素而非央行所說之對付通膨。
根據歷史資料的觀察，台灣央行的重貼現率有跟隨聯邦基金利率調動的慣性行為，當聯邦基金利率調升時，重貼現率也跟隨調升；當聯邦基金利率調降時，重貼現率也跟隨調降。另外，重貼現率亦有升幅小、降幅大的特色。本研究嘗試探討央行的貨幣政策是否以聯準會之升、降息為依歸，而跟隨調整。若為如此，在2008年3月後，台灣地區的通膨壓力逐漸增大，是否迫使央行正視物價問題，使得其重貼現政策之目標轉為盯住通膨？
本研究藉由修正泰勒法則，加入聯邦基金利率與匯率變動之變數，並根據台灣地區的總體條件，給予各係數不同的權數，同時，亦參考Kydland and Prescott（1977）設定央行的損失函數，利用實證資料以一般動差法估計損失函數中的係數以作為討論的基礎，藉以探討央行重貼現政策所關注的焦點。經本研究可推論，央行的貨幣政策以聯準會之貨幣政策為首要考量。
央行的對付通貨膨脹的貨幣政策之施行，其政策效果仰賴經濟活動間交互影響與傳遞及政策影響社會大眾之預期而達成。重貼現政策乃央行對外宣告訊息之重要工具，以之宣示其理想的短期利率水準，傳遞未來央行的貨幣政策方向；社會大眾以此為基礎預期央行未來貨幣措施與可能的通膨率之變化。

關鍵字

貨幣政策法則 ； 通貨膨脹率 ； 重貼現率 ； 通膨率

並列摘要

The purpose of this paper is to investigate the monetary policy target of the Central Bank of the Republic of China (CBC). We argue that the monetary policies made by CBC might not focus on the price issues in Taiwan. In the past few years, CBC raised the rediscount rates（CBC’s main policy instruments）because of fighting inflation. However, the inflation pressure was not severe as CBC’s descriptions, according the survey made by Directorate-General of Budget, Accounting and Statistics, Executive Yuan, R.O.C.
The paper discussed the “real” aims of CBC’s monetary policies. Based on Regulations of CBC and economic inferences, we conjecture that the CBC might follow some policy rules like Taylor’s rule, but not the original one. Comparing with history of the federal funds fates of Federal Reserve Bank of the United States（the US main policy instruments）, surprisingly, CBC’s rediscount rates always had the same movement. It means that when federal funds rates went up（down）, then CBC’s discount rates went up（down）. We conjecture that there might be some relationship between the two discount rates.
Considering this phenomenon, we modified Taylor’s rule by adding the parameter representing federal funds rates. Meanwhile, according to Taylor（2001）,the modified one also including the parameter which implied CBC’s policies took account of stablizing the USD/NTD exchange rates. We assigned different coefficients in the modified Taylor’s rule by cases so that we could figure out the real intention of CBC’s policies.
As well as we based on the idea in Kydland and Prescott（1977）, constructing the CBC’s monetary policy minimization problem：to minimize the CBC’s loss function and subject to the Phillips curve and Interest rate parity. Then we solved this problem by Generalized Method of Moments to estimate coefficients in the model. As a result of the estimation and discussion from the modified Taylor’s rule by cases, we made a conclusion that the real aim of CBC’s monetary policies was not against inflation, instead, CBC was used to follow Fed’s monetary policies.

並列關鍵字

policy rules ； monetary policy ； inflation target

參考文獻

陳瑞章（1997），「解析軍事投資與維持之國防分項支出對台灣經濟成長的影響」，國立中央大學產業經濟研究所碩士論文。

Mankiw, N. Gregory (2006):Macroeconomics, 6th ed., N.Y.: Worth Publishers.

Hansen L. (1982), “Large Sample Properties of Generalized-Method of Moments Estimators,” Econometrica, Vol. 50, pp. 1029-1054.

Kydland, Finn E. and Edward, C. Prescott (1977): “Rules Rather than Discretion: The Inconsistency of Optimal Plans,” Journal of Political Economy, Vol. 85, pp. 473-491.

Taylor, John B. (1993): “Discretion versus Policy Rules in Practice, ” Carnegie-Rochester Conference Series on Public Policy, Vol. 39, pp. 195-214.