我國央行對油價衝擊反應之探討

The Investigation on the Central Bank Response to Oil Price Shocks in Taiwan

本文旨在探討小型開放經濟體系受到油價衝擊時，央行採取的貨幣因應政策對經濟景氣衰退產生的干擾效果。首先，參考Gandolfo（1986）與Cushman and Zha（1997）有關小型開放經濟模型的設定，建立結構化向量自迴模型（structural vector autoregressive model），同時亦設定一條代表央行回應油價衝擊的內生性貨幣政策反應函數，以排除央行受到油價衝擊的系統性反應部分，用以實證分析台灣1982：01至2008：12期間發生油價衝擊時，央行貨幣政策變數在排除與未排除對油價衝擊系統性反應下的差異，以及油價衝擊對於實質產出的影響。貨幣政策變數排除油價衝擊的干擾後，由衝擊反應函數的實證結果發現，貨幣政策變數外生性提高，代表央行的確有回應油價衝擊；而產出受到油價衝擊的影響變的較緩和，但差異並不明顯，代表油價衝擊帶來經濟的衰退，貨幣政策回應干擾並沒有加劇效果，亦即央行回應措施並非強化油價衝擊經濟的重要角色。

The purpose of this paper is to investigate the possible intervene effects of monetary policy to the oil price shocks on economic recession of Taiwan. A model is built based on the concept of Bernanke et al. (1997) which measure the Central Bank systematic responses to macroeconomic conditions such as oil price shocks. And the model is modified to fit the small open economic nature of Taiwan based on the settings of Gandolfo (1986), Cushman, and Zha (1997)’s models. A structural vector autoregressive model (SVAR) is built to investigate both the reactions of excluded and non-excluded Taiwan Central Bank’s systematic response for the oil price shocks, as well as the impacts on real output from 1982:01 to 2008:12.While eliminates the systematic response of the monetary policy caused by the oil price shocks, empirical results of the impulse response function show that the impacts of oil price shocks are small and not clear. It does not support the view that the endogenous monetary policy response can account for a substantial portion of the depressing effects of oil price shocks on the real economy.