台灣貨幣供給與農工產品物價互動關係之驗證

Interrelationships between Monetary Instruments and Relative Commodity Prices in Taiwan

有關貨幣與一般（絕對）物價水準之互動關係，過去國內外理論與實證文獻，大部份皆由單一部門總體層面進行驗證，然而當農工部門之市場結構存在顯著差異時，貨幣與部門別物價間之互動關係，可能更值得關注。依循此研究背景，本文使用包括廣義貨幣供給（M2）、農民所得物價（PF）、製造業憂售物價（PM）、三個月期可轉讓定期存單實質利率（CR）等四個變數之誤差修正模型（ECM），探究臺灣貨幣供給與農工物價之互動關係。實證結果顯示：（1）臺灣貨幣供給與農工物價存在長期共積且等比例變動之關係，即支持貨幣中立性之命題。（2）在ECM下所進行之變異數分解，顯示四個變數之外生性，依序為PM、CR、PF及M2；此等實證結果顯示，臺灣央行在貨幣政策中間目標之選擇上，似乎應捨棄不易控制的數量目標（貨幣供給），而改採外生性（獨立性）較高的價格目標（利率）；換言之，晚近臺灣經濟干擾大部分源於金融面，就學理言，採行釘住利率政策相對會縮小景氣波動幅度。（3）在ECM下所進行之衝擊反應分析，顯示變數間之相互衝擊效果呈現長期收敛而短期波動現象，此再次證明變數間存在長期穩定共積關係，故短期效果會隨著時間遲延而下降，其中CR對PM之衝擊效果大於PF，而M2對PF影響力大於| PM；換言之，中間目標變數對最終目標（農工價格），呈現不對稱之衝擊效果。

Most recent theoretical and empirical researches that investigate the interaction between the money and the general price level are concentrated only to one sector of a macro model. If the market structures of the agricultural and industrial sector are taken into account, the degree of structural differentiation of those two sectors may have significant effect on the interaction between those two variables. This paper employs the error correction model to investigate the interrelationships between Taiwan's money supply and the relative commodity price by examining the integration relationship among the variables including monetary aggregate (M2), agricultural product price (PF), manufacturing product price (PM), three month's interest rate for the certificate of deposit (CR). The empirical results show the following: (1) There exists an evidence of a long-term relationship between M2, PF and PM. The result, in fact, consistent with the conventional view that money is neutral. (2) Variance decomposition analysis show that the exogeneity ordering of the variables is (PM, CR, PF, M2). The result suggests that Taiwanese authorities should choose the variables with higher degree of exogeneity such as interest rate to aim for as intermediate targets, instead of aiming at those variables such as money supply that difficult to control. In other words, the latest interventions conducted by the authorities are concentrated on the financial sector, aiming at the interest rate would reduce the variation in the economy caused by the recession. (3) The impulse response analysis show that the impulse impacts among the variables vary in the short-run, but tends to die out in the long-run. The result implies that there is a evidence of long-term cointegrated relationship among the variables. The short-term effect will diminish as the time horizon stretches out. In addition, the impulse impact of CR on PM is greater than on PF, and the impulse impact of M2 on PF is greater than on PM, which implies that the impulse impact of the intermediate targets on the goal variables (PF and PM) is asymmetrically.