台灣短期利率指標之研究

An Investigation of the Short Term Interest Rate Indicator: Evidence from Taiwan

本文以台灣短期利率市場之金融同業拆款利率、台北金融業拆款定盤利率以及融資性商業本票次級市場利率為分析對象，討論各利率具有的價格發現能力。實證結果顯示不同來源之同期別利率間具有共整關係，即使考慮結構性改變因素的影響後，此關係依然可以成立。透過弱外生性檢定、Gonzalo and Granger (1995)共同因子模型、Hasbrouck (1995)訊息比例模型以及King et al. (1991)變異數分解與衝擊反應等分析方式，實證內容指出以一星期與兩星期的利率期別而言，金融同業拆款利率擁有的價格發現能力高於台北金融業拆款定盤利率。至於一個月、兩個月、三個月與六個月的利率期別，則是台北金融業拆款定盤利率扮演著比融資性商業本票次級市場利率具明顯的價格發現角色。整體而言，拆款市場利率比融資性商業本票次級市場利率適合擔任短期利率指標之角色，此應該與拆款利率主要擔任中央銀行貨幣政策的操作目標有關。

This paper investigates the relative role of price discovery between interest rate of interbank call-loan market, Taipei interbank offered rate (TAIBOR) and secondary money market rate on commercial paper. Taking structural changes in consideration, the three interest rates mentioned above all follow an I(1) process and possess cointegration relationships. By employing Gonzalo and Granger (1995) permanent-transitory model, Hasbrouck (1995) information share model and variance decomposition and impulse response analysis of King et al. (1991), the empirical results show the price discovery role of interest rate of interbank call-loan market is greater than that of TAIBOR and the relative importance on the process of price discovery of TAIBOR is significant than that of secondary money market rate on commercial paper. Overall, the interest rate of interbank call-loan market can be served as the primary indicator of short term interest of Taiwan and this is related with the focusing on the overnight interest rate rather than the amount of money supply as the primary indicator of the stance of monetary policy of Taiwan central bank.