中央銀行溝通政策對台灣金融市場之影響

Abstract

本文採用兩種不同的方法，檢視台灣央行溝通政策對金融市場的影響。第一部份以央行理監事會議召開日期，界定溝通政策的影響期間，並利用事件研究法，探討溝通政策是否對資產價格變異有所衝擊。第二部份則收集新聞資料，將央行官員的發言內容分為經濟前景、貨幣政策、匯率政策三大類別，以GARCH模型檢驗溝通政策對資產價格水準值的影響效果。 實證結果顯示，央行理監事會議後的溝通政策，對長期利率之變異並無顯著影響。而央行官員的言論中，與貨幣政策相關的發言內容可以顯著影響短期及長期利率，但經濟前景的發言內容對資產價格則無顯著影響。值得注意的是，央行發言次數最多的匯率政策，對匯率並沒有顯著的引導效果。

This paper employs two approaches to investigate the influence of Central Bank communication on financial markets in Taiwan. First, we use the event-study approach to analyze whether the volatility of the asset prices is affected. We identify the event period by the meeting dates of Central Bank of Taiwan. In the second part, we apply GARCH model to examine if the statements, the speeches and the testimonies of Central Bank officials influence the level of the asset prices. The statements are collected from the news reports and are classified into three categories: Economic outlook, monetary policy, and exchange rate. Our empirical results reveal that the communication after the meetings has insignificant impact on the volatility of the long-term interest rates. As to the communication of Central Bank Officials, the statements regarding monetary policy can effectively move either the short-term or the long-term interest rates, while the statements regarding economic outlook have no significant influence. It is worth noting that, though the statements with respect to the exchange rate are of the highest frequency, they cannot significantly affect the exchange rate.