臺灣貨幣政策慣性之分析

THE INERTIA OFMONETARY POLICY:EMPIRICAL RESULTS FOR TAIWAN

本研究以臺灣之即時資料與修正資料為對象, 討論貨幣政策法則內落後一期利率具顯著解釋能力, 是因貨幣當局面對具序列相關之衝擊使然, 抑或與貨幣政策慣性之性質有關。透過English et al. (2003)與Castelnuovo (2003)之架構, 以前瞻式泰勒法則進行的分析指出, 中央銀行利率平滑化措施, 為落後一期利率在貨幣政策法則內具顯著解釋能力的原因。而改以不同利率平滑化與衝擊序列相關設定, 或將股價變化納入貨幣政策法則內後, 原有分析結論依然可以成立, 顯示文中有關貨幣政策慣性之推論具有穩健性。以逐步擴大樣本進行的估計指出, 貨幣政策慣性程度有隨時間而提高的變化, 且未因2007 年全球金融風暴而受到影響。此外貨幣政策法則內各參數估計值的顯著性, 亦會隨時間改變而出現消長, 這隱含臺灣貨幣當局之政策反應函數有隨經濟發展階段不同而改變之特性。

Based on real-time data and revised data of Taiwan, we address whether the lagged interest rate inmonetary policy rulesmeans inertia ofmonetary pol-icy or serially correlated policy shocks faced by the Central Bank. Adopting the model of English et al. (2003) and Castelnuovo (2003) and based on the frame-work of forward-looking Taylor rules, the empirical results indicate that imple-menting monetary policy in a gradual fashion by the Central Bank of Taiwan is the cause of the lagged interest rate entering estimated monetary policy rules. Besides, the conclusion that the lagged interest rate in monetary policy rules represents inertia ofmonetary policy can also be confirmed by alternative speci-fications of interest rate smoothing and persistent shocks and by taking the role of financial variables in Taylor rules into account. Considering the impacts of the global financial crisis of 2007 on the issue investigated in this research, the inferences about the inertia ofmonetary policy of Taiwan can still hold. The sig-nificance of the coefficients in Taylor rules varies over time, and this implies that the reaction function of the Taiwan monetary authority is accommodating dif-ferent phrases of economic development.