台灣利率法則之估計──即時資料vs.修正資料

THE INTEREST RATE RULE IN TAIWAN: REAL-TIME DATA VS. REVISED DATA

本文強調央行貨幣政策行為之資料訊息問題，並探討央行之利率法則是否具不對稱性。為此本文建構可適用於估計台灣利率法則之即時資料，並估計央行之利率法則。實證結果指出，不論在名目匯率變動率大於或小於門檻值之期間下，利率自迴歸係數為正且小於1，產出缺口及通貨膨脹率對利率之影響皆顯著為正。名目匯率缺口對利率之影響在名目匯率變動率大於門檻值之期間顯著為負，然在名目匯率變動率小於門檻值之期間則顯著為正。此顯示央行之貨幣政策具平滑性，反景氣循環性及阻升助貶之特性。

This study constructs the real-time data of Taiwan and then applies it to examine the interest rate rule of the central bank of the Republic of China (Taiwan) since 1990. Empirical results indicate that the autocorrelation coefficient of interest rates is positive but less than one, and that the impact of output gap and inflation gap on interest rates are positive regardless of exchange-rate regimes. These results indicate that the central bank adopts interest-rate smoothing and a counter-cyclical monetary policy rule. Moreover, the impact of the exchange-rate gap on interest rates is significantly negative in the depreciation regime, but significantly positive in the appreciation regime. These results indicate that the central bank’s monetary policy has the property of preventing appreciation and promoting depreciation of the New Taiwan dollar.