以分量迴歸評估台灣央行的利率反應函數

ESTIMATING INTEREST RATE REACTION FUNCTIONS OF TAIWANS CENTRAL BANK USING QUANTILE REGRESSIONS

本文以分量迴歸分析台灣央行在整個利率條件分配下的政策反應參數。本文選取通膨預測及產出預測的即時資料，並以迎分量迴歸處理匯率變數的內生性問題。本文發現不同條件分量下的政策反應係數與條件平均估計存在差異，特別是央行利率訂定在高分量，會相較於低分量時採較平滑之利率調整。此外，央行對當前產出缺口近似反衰退偏好，但對未來產出缺口之態度為反景氣循環。而央行對當前景氣之反衰退偏好，不但可能是造成不對稱利率慣性調整之原因，或也導致央行對美元匯率有更多樣且條件性的干預。本文結果突顯出台灣央行之利率政策相當彈性，確實也不易由實證之非線性或門檻模型所能清晰呈現。 This study uses quantile regression to analyze the policy reaction parameters over the whole conditional distribution of the interest rate of Taiwan's central bank. Real-time data of inflation forecasts and the output forecast are used, and the inverse quantile regressions are applied to deal with endogeneity of exchange rate variables. We find the policy reaction parameters systematically deviate from the estimates of the conditional mean over the conditional interest rate distribution. In particular, the interest rate smoothing parameter will be higher in the upper part than in the lower part of the conditional distribution of the interest rate. Furthermore, the central bank prefers an anti-recession policy for the current output gap and an anticyclical policy for future output gaps. The central bank's anti-recession preference for the current output gap not only may cause asymmetric interest rate inertia, but also leads to diverse and conditional interventions on the nominal exchange rate. The results of this study highlight the fact that the interest rate policy of Taiwan's central bank is very flexible, and not easily demonstrated by the empirical non-linear or threshold model.