再論台灣非線性利率法則

THE RE-EXAMINATION OF THE NON-LINEAR INTEREST RATE RULE IN TAIWAN

本文以具內生解釋變數及內生門檻變數之門檻模型重新探討台灣央行自1998年後之非線性利率法則。實證結果指出，央行採取反景氣循環的貨幣政策法則，匯率穩定為央行貨幣政策的重要目標，貨幣政策對經濟變數有不對稱的反應及門檻估計值為正。匯率變動之絕對值增加在新台幣貶值期間使利率上升，然在新台幣升值期間則使利率下跌，此反映出央行採逆風像干預之貨幣政策，前述結論具實證上之穩健性。

This paper applies a threshold model with endogenous threshold and explanatory variables to re-examine the nonlinear interest rate rule of the central bank of the Republic of China (Taiwan) since 1998. Empirical results indicate that the central bank adopts a counter-cyclical monetary policy rule, and exchange rate stability is an important target in the conducted policy. Besides, monetary policies have asymmetric effects on macro variables and the estimated threshold value is positive. An increase in the exchange rate change, measured in its absolute value, increases the interest rate under a depreciation regime, but it decreases the interest rate under an appreciation regime. This reflects that the central bank conducted a monetary policy to lean against the wind. Furthermore, the above mentioned results are robust empirically.