臺灣自然利率的估計

Abstract

本研究旨在估計臺灣的中長期自然利率，我們採用不可觀測成分(UC) 模型，結合卡爾曼濾波器(Kalman Filter) 以及最大期望演算法(EM Algorithm) 進行估計，並分析1995 年至2021 年臺灣自然利率的走勢。我們的UC 模型參考自Berger and Kempa (2014)，相比於Laubachand Williams (2003) 的原始版本，前者納入實質匯率的影響，並引進未拋補利率平價等式，用以解釋匯率缺口和利率缺口的關係。比對估計結果後我們發現，這些調整使得原先不顯著的IS Curve 係數變為顯著之負數，並且讓自然利率的平均標準誤從3.98 個百分點大幅下降至1.27 個百分點。根據本文的估計結果，臺灣的自然利率呈現下滑的趨勢，並且從2008 年起長期處在低於0 的水準。

This paper aims to estimate the medium to long-term natural rate of interest in Taiwan. We adopt the Unobserved Components (UC) model, incorporating the Kalman Filter and the EM Algorithm for the estimation. Furthermore, we conduct an analysis on the natural rate of interest in Taiwan, tracing its trend from 1995 to 2021. Our UC model is based on the approach presented by Berger and Kempa (2014). In comparison with the model pioneered by Laubach and Williams (2003), the former incorporates the influence of the real exchange rate, introducing the uncovered interest rate parity equation to link the exchange rate gap with the interest rate gap. After comparing the estimation results, we found that these adjustments turned the initially insignificant IS curve coefficient into a significant negative value. Also, the average standard error of the natural rate of interest was greatly reduced from 3.98 percentage points to 1.272 percentage points. Based on our estimates, the natural rate of interest in Taiwan has been on a downward trend and has remained below zero since 2008.