小型開放經濟體系下以修正過後泰勒法則檢視台灣央行之貨幣政策

Abstract

本文依循Dornbusch(1976)的模型架構設立一個小型開放經濟體系，並假設國際間資本不完全移動，遂將未拋補利率平價定理(Uncovered Interest Parity，UIP)加入風險貼水，在此經濟體系下，參考Kydland and Prescott(1977)設立損失函數(loss function)來當作央行目標函數，將匯率因素考慮進來，推導出央行干預外匯市場且實行沖銷政策的修正過後泰勒法則，此修正過後之泰勒法則在匯率干預完全與干預不完全成功的兩種情況下，分別有著不同型態：於前者設定下，法則中之係數為固定值；而於後者設定下，法則中之係數會隨著時點的不同或是政策目的不同而改變。接著使用1996年到2010年4月之月資料以一般化動差法(GMM)對本文的模型設定進行實證分析，並檢視台灣中央銀行在2000年到2010年4月間的貨幣政策法則。此外本文還建立了一個干預指標，此指標可用來比較央行在每段期間干預外匯市場態度之強弱，計算結果顯示央行在2000年到2001年7月、2007年5月到2008年1月以及2009年4月到2010年4月，顯示出較強烈的干預態度。

According to Dornbusch(1976), we construct a small open economy model, and adapt the uncovered interest parity (UIP) to imperfect capital mobility by adding risk premium. Under the framework of small open economy, we view a loss function as central bank’s objective function after referring to Kydland and Prescott(1977) and bring exchange rates into the loss function; then from all of settings characterized in this paper, we derive modified Taylor Rule which can describe monetary policy rules constituted by foreign exchange intervention and sterilized intervention. This modified Taylor Rule has two different types: successful and unsuccessful intervention. In the condition of successful intervention, the rule has constant coefficients; while in the condition of unsuccessful intervention, the rule has flexible coefficients which will vary with time and policy objectives. Following, we use monthly data from January, 1996 to April, 2010 to make econometric analysis with the method of generalized method of moments (GMM) and assess Central Bank of the R.O.C.’s monetary policy rules for the last ten years. In addition, we build an intervention index which can be used to measure the extent of central bank’s intervening attitude. We find that Central Bank of the R.O.C. performs an aggressive intervening attitude during the periods of January, 2000 to July, 2001, May, 2007 to January, 2008 and April, 2009 to April, 2010.