央行繳庫盈餘與貨幣政策關聯性研究–以臺灣、韓國、新加坡、瑞士為例

Abstract

本研究探討央行繳庫盈餘對貨幣政策之影響。由於臺灣央行近年來維持高盈餘繳庫水準，成為政府歲入重要來源之一，其角色不時引起爭論。從理論發現，繳庫盈餘與央行本身獨立性有關，並影響利率和匯率政策之執行，乃至公開市場操作，長期而言可能對經濟產生負面效應。 為了分析繳庫盈餘在貨幣政策中扮演的角色，以及與台灣類似經濟體之央行的情形，本篇論文擴大研究範圍，蒐集1993年至2018年的年資料，使用向量自我迴歸模型，對臺灣、韓國、新加坡以及瑞士進行估計，探討繳庫盈餘是否對央行貨幣政策與經濟變數造成衝擊，其中變數涵蓋隔夜拆款利率、匯率、通貨膨脹率、國外淨資產以及沖銷措施，期望了解彼此之間的關係，並搭配衝擊反應函數及變異數分解，更進一步了解變數之間的關係。 實證結果顯示，繳庫盈餘對隔夜拆款利率和匯率有顯著影響，說明在觀察對象中，央行政策可能受繳庫盈餘的目標而有所調整；另一方面也發現隔夜拆款利率、匯率、國外淨資產、沖銷措施對通貨膨脹率變動具顯著影響，可見四國央行透過貨幣政策傳遞機制來維持物價穩定，符合央行職責及目標。未來如何在多方壓力與環境變動下仍維持政策獨立性，並達成各種被賦予之任務與經濟目標，對央行來說極具挑戰。

The purpose of this paper is to study the effect of central bank’s profit to be paid to the Treasury to the monetary policy. As Taiwan’s central bank has maintained a high profit remittance and become an important source of government revenue in these years, its role sometimes triggers controversy. From the theories, profit to be paid to the Treasury is related to central bank’s independence, affecting interest rate, exchange rate policy and even the open market operation. In the long run, it may have negative effects to the economy. To analyze the role of profit to be paid to the Treasury in the monetary policy, the author expands the range of samples. The study collects data from 1993 to 2018 and uses vector autoregression model to estimate whether profit to be paid to the Treasury has an impact on monetary policies and economic variables in Taiwan, Korea, Singapore and Switzerland. The variables include overnight rates, exchange rates, inflation rates, net foreign assets and sterilization tools. The paper also uses impulse response function and variance decomposition to learn more about the relationship between each variable. The empirical results show that the amount of profit to be paid to the Treasury has a significant effect on overnight rates and foreign exchange rates, which means that central banks might be affected by their profit remittance target to adjust policies. It is challenging for a central bank to achieve goals and maintain policy independence under public pressure in the future.