利率期限結構與貨幣政策：台灣的實證分析

Term Structure of Interest Rates and Monetary Policy: Empirical Results for Taiwan

本文以台灣商業本票次級市場利率及台北金融業定盤利率為對象，討論預期假說利率期限結構的成立與否。透過短期利率變動對長短期利率差的迴歸估計顯示，不論利率的到期期限為何，預期假說隱含之利率期限關係並無法成立。然Mankiw and Miron (1986)指出，預期假說隱含之長短期利率差預測短期利率變化的能力，與貨幣當局採行平滑化短期利率及反應長短期利率差的政策有關。根據McCallum (1994, 2005) 與Kugler (1997)的分析架構，研究過程將貨幣政策利率反應函數與隨時間變化之自我迴歸期限貼水，納入預期假說利率期限結構模型，分析預期假說利率期限結構的關係，是否會受貨幣政策以及期限貼水的影響。實證分析指出，顯示貨幣政策內容及期限貼水變化之參數，的確會影響長短期利率差解釋利率變動的能力，預期假說利率期限結構隱含之關係無法成立，實與貨幣當局採行利率平滑化措施與期限貼水隨時間變化有關。文中也以Weber and Wolters (2012) VECM 架構與門檻模型進行分析，估計結果依然可以支持由McCallum(1994, 2005) 與Kugler (1997) 模型獲得的結論，這顯示文中有關貨幣政策內容以及期限貼水變化的估計具有穩健性。

This research applies the monetary policy reaction model developed by McCallum (1994, 2005) and Kugler (1997) to the term structure of interest rates. Employing the TAIBOR and CP2 interest rates of Taiwan, the magnitude of slope coefficients in the regressions of short rate changes on long-short spreads cannot support the expectation hypothesis of term structure of interest rates for different maturity of interest rates. Considering the effect of monetary policy on the results of tests of expectation hypothesis of term structure of interest rates emphasized by Mankiw and Miron (1986), this research employs the model of McCallum (1994, 2005) and Kugler (1997) to study the role of monetary policy on the term structure of interest rates. The analysis indicates the anomalous empirical findings can be rationalized with the expectation theory by recognition of an autoregressive term premium and the monetary policy with smoothing short rate changes. Furthermore, the premia persistence rises with longer ratematurity, whereas the influence of the according spreads in the monetary policy reaction function diminishes. Employing the VECM model of McCallum (1994, 2005) and Kugler (1997) developed by Weber and Wolters (2012) and the regime dependent model of Kugler (1997) extended by this research, the inference of the empirical results can still hold.