台灣公開市場操作對所得利率物價匯率關聯性之探討

Correlation between Open Market Operations and Income Interest Rates Price Indexes and Exchange Rates in Taiwan

公開市場操作是中央銀行經常運用的貨幣政策工具，透過公開市場操作買進或賣出有價證券，而達到寬鬆或緊縮市場資金的目的，進而影響總體經濟。本研究則以IS-LM理論、AD-AS理論及BP對外均衡理論為基礎進行分析，並以台灣的官方資料及SPSS研究方法來實證分析公開市場操作對總體經濟的影響，且深入分析了解台灣公開市場操作在經濟活動過程是否具有顯著影響力。研究結果發現：在IS-LM理論中，公開市場中之釋出金額與GDP、物價、貨幣供給額呈正方向變動關係與利率呈反向變動關係。AD-AS理論中，當公開市場之釋出金額增加，導致物價及所得皆增加或不變。在固定匯率制（孟岱爾—費立明）模型中公開市場操作中之釋出金額增加，所得維持不變，浮動匯率制（孟岱爾—費立明）模型中將導致貨幣供給額增加，匯率上升（本國貨幣貶值），出口增加，所得增加。並由本文實證結果顯示，若中央銀行公開市場操作中釋出金額增加，則GDP、物價及貨幣供給額增加，匯率上升（即本國貨幣貶值），利率下跌。若中央銀行公開市場操作中回收金額增加，則GDP、物價及貨幣供給額減少，匯率下降（即本國貨幣升值），利率上升。由實證結果顯示：當台灣之公開市場操作變動，採用浮動匯率制度可以促使GDP增加。在迴歸統計分析中，檢定結果顯示；公開市操作中釋出金額及回收金額與GDP、物價、利率及匯率在95%信賴區間皆具顯著性。文中並發現理論分析皆與台灣實證分析結果一致。本文實證檢定結果，中央銀行在公開市場操作中與台灣之GDP、利率、物價、匯率皆具顯著性及解釋能力較高。並發現公開市場操作為一最具積極、有效、彈性的中央銀行貨幣政策工具。

Open market operations are the monetary policy tools frequently used by central bank. Central bank often used open market operations to buy or sell securities, and achieve the purposes of loose or tight the market liquidity, thereby affecting the overall economy. In this study, IS-LM model, AD-AS model and BP External equilibrium theory were used as the basis for analysis. The SPSS method and the Taiwan's official information were also used to empirically analyze the impact of open market operations on the overall economic. As well, to investigate in-depth to realize whether Taiwan open market operations have the significant influence in the process of economic activity. The results have shown that:From the IS-LM model analysis, the release amount of the open market have a positive relationship with GDP, prices and money supply, but have a negative relationship with interest rates. From the AD-AS model analysis, if the release amount of the open market increases, the prices and income will be increased or unchanged. From the fixed exchange rate regime (Mundell-Fei Li Ming) model analysis, the release amount of open market operations increases, the income will remain unchanged. From the floating exchange rate system (Mundell-Fei Li Ming) model analysis, that will lead to increase in money supply, exchange rate (national currency devaluation), exports and income. In addition, the empirical analysis results have shown that if the release amount increased in the open market operations of central bank, GDP, prices and money supply will increase, exchange rate will rise(ie, devaluation of national currencies), but interest rates will decline. If the recover amount increased in the central bank open market operations, GDP, prices and money supply will decrease, exchange rate will decline (ie domestic currency appreciation), but interest rates will rise. The empirical results also have shown that when open market operations in Taiwan have changes, the use of a floating exchange rate regime can promote GDP growth. The regression analysis and the test analysis results have shown that in open market operations, the relationship between the release amount and the recoverable amount with GDP, prices, interest rates and exchange rates are significant at the 95% confidence interval. This study also found that the theoretical analysis results are consistent with the empirical analysis. In all, the empirical test results have shown that all of the relationship between the open market operations of central bank and Taiwan GDP, interest rates, commodity prices, exchange rates are significant and the explanatory power is higher. The open market operations of central bank are indeed a most positive, effective and flexible monetary policy tool.