臺灣泰勒法則估計之資料訊息問題

THE REAL-TIME INFORMATION PROBLEM IN ESTIMATING TAIWAN’S TAYLOR RULES

本研究探討臺灣Taylor法則估計是否有「資料訊息問題」，由於臺灣官方並無即時資料庫， 因此， 本研究以行政院主計處初次發布之《新聞稿》為「即時資料」， 用來估計官方Taylor 法則， 並與修正資料之估計結果進行比較。本文之主要實證果顯示， 使用即時資料與修正資料所估計出之法則確實有相當差異，且使用修正資料往往得到顯著性不佳或反應係數符號不合理的結果，代表估計臺灣貨幣法則時應留意資料訊息問題。再者， 與傳統同期Taylor 法則相較， 具前瞻通貨膨脹率之法則模型較能捕捉臺灣央行之貨幣政策。我們也發現央行政策有較關注負向產出缺口的不對稱性。運用即時資料估計含匯率變動之不對稱法則發現，當新臺幣貶值時，央行可能進一步採寬鬆的貨幣政策讓貶值幅度擴大。

This study investigates the real-time data information problem in the estimation of Taylor rules of Taiwan. The original news announcements made by the official statistics bureau are taken as the real-time data. Estimated Taylor rules based on the real-time data are compared with those estimated with the revised data. Several main findings are summarized. First, the data information problem exists when one estimates Taiwan’s Taylor rules with revised data. Second, Taiwan’s monetary policy is forward-looking and the monetary authority’s response to a positive output gap is not symmetric to its response to a negative output gap. Third, the central bank’s attitude to alleviate nominal exchange rate fluctuations is also asymmetric, in that it tends not to lean against the wind in depreciation episodes.