美國和日本量化寬鬆貨幣政策對臺灣經濟衝擊──GVAR模型之分析

IMPACT OF U.S. AND JAPAN QUANTITATIVE EASING POLICIES ON TAIWAN: A GVAR APPROACH

美國與日本量化寬鬆（quantitative easing，以下簡稱QE）貨幣政策不只影響單一國家，還會透過金融市場的傳遞，存在複雜的雙邊，或是多邊的影響效果，影響全球的經濟。有鑒於此，本文嘗試利用具有捕捉國際聯動特性的全球向量自我迴歸模型（global vector autoregressive model，以下簡稱GVAR），考量全球29個國家的經濟數據，來分析美國與日本QE政策對臺灣經濟的衝擊與影響效果。透過GVAR模型，本文嘗試探討以下四種情境，分別是（1）僅美國施行QE政策退場；（2）僅日本施行QE政策退場；（3）美國與日本同時實行QE退場的情況；以及（4）美國施行QE退場但日本QE持續進行的情境。實證結果發現，在情境（1）下，短期之內對臺灣GDP成長率有顯著的負面衝擊，但長期的影響效果並不顯著。此外，該政策也會使臺灣的股價指數受到顯著的負面衝擊，衝擊期間大約1季左右。在情境（2），影響效果跟美國QE退場的影響情況大致相同，只是都不顯著。造成此結果的主因可能是日本QE的購債規模遠小於美國。在（3）的情境下，我們發現對臺灣GDP成長率以及股票市場都會有較大且較為顯著的負面衝擊。在最後的情境（4）下，我們發現對臺灣GDP成長率沒有顯著的影響，但短期內對臺灣通貨膨脹率卻會有顯著的負面效果。

Several rounds of quantitative easing (hereafter QE) in the U.S. and Japan have increased the size of the central banks’ balance sheets, which is not only to stimulate the U.S. and Japanese economies by encouraging banks to make loans, but also to affect the emerging economies via the market networks. In this study, the global vector autoregression (hereafter GVAR) model proposed by Pesaran et al. (2004) is applied to analyze howthe QE policies of the U.S. and Japan affect Taiwan’s economy. Four different circumstances are considered here: (1) the U.S. Federal Reserve tapered its QE policy, (2) the Bank of Japan reduces its economic boost and tapers its QE policy off, (3) both the U.S. Federal Reserve and Bank of Japan wind down their bond buying stimulus programs, and (4) the U.S. Federal Reserve tapers its QE policy but the Bank of Japan adopts a QE policy. Our results indicate that the performance of the GVAR model is encouraging in the sense that the effects of various QE shocks on core macro variables of interest are generally consistent with the predictions based on the standard macroeconomic theory. In case (1), the effect of the QE tapering by the U.S. Federal Reserve implies a decrease in the real output of Taiwan in the short run. It also has a negative impact on Taiwan’s stock market. Similar results can also be found in case (2). However, the impacts of the QE tapering by the Bank of Japan are not statistically significant. In case (3), both the QE tapering in the U.S. Federal Reserve and the Bank of Japan have a significant negative effect on the real GDP and stock price in Taiwan. Finally, the impact of case (4) is negative for Taiwan’s inflation rate.