繳庫盈餘與央行的貨幣及匯率政策

Abstract

本研究探討繳庫盈餘對台灣央行貨幣及匯率政策的影響。首先建構一個小型開放總體經濟模型，推導出加入繳庫盈餘限制的利率及外匯干預反應函數。由理論發現，繳庫盈餘對央行政策執行的影響會與央行主要經營目標相牴觸。接著，使用 Caner and Hansen (2004) 以及 Kourtellos et al. (2011) 門檻迴歸模型，分別以匯率及繳庫盈餘為門檻變數，估計台灣央行的雙率政策。結果發現，央行的政策對於匯率及繳庫盈餘具不對稱性反應。在台幣升值或繳庫盈餘上升期間，央行採行寬鬆貨幣政策以降低利率或買進外匯讓台幣貶值，進而提高盈餘；反之，在台幣貶值或繳庫盈餘下降期間，則無顯著的相同反應。這些影響說明央行的政策可能會因要達成繳庫盈餘的目標而改變。此外，本研究更發現，1998年後繳庫盈餘對央行政策執行的影響更加顯著。

This paper studies the monetary and exchange rate policies of the Central Bank of the Republic of China (CBC) under the requirement of profits to be paid to the Treasury (PPT). We first demonstrate using a theoretical model that the CBC’s policy conducts might be distorted towards gaining more profits under such requirement, which is not necessary in accordance with the CBC’s primary objectives. Next, using threshold regressions, we estimate the reaction functions of the interest rate and the foreign exchange intervention derived from the theoretical model. We find that the CBC’s responses to different economic regimes are asymmetric. For instance, in the regime of PPT growth, the CBC tends to lower the interest rate and raise the value of foreign assets when the financial burden from budgetary requirements increases. The same is not observed in the alternative regime. The above effects suggest that the CBC’s policies might bias toward fulfilling the budgetary obligations. In addition, the effects of PPT on the CBC’s policies become more salient after 1998, showing an increasing influence of PPT on the CBC’s policies in the recent decades.