以時間數列模型析論泰勒法則下台灣利率之走勢

Abstract

中央銀行主要的任務在於維持經濟成長穩定與物價穩定，透過各種操作目標以達其最終目標，若央行的操作越透明，將可以使大眾瞭解央行如何因應不同的經濟環境而對政策做改變，並有能力預測央行的操作行為，進而對經濟有所貢獻。因此美國史丹佛大學教授Taylor在1993年提出泰勒法則，討論央行在對抗通貨膨脹與景氣衰退時，是否有一個簡單的法則做為貨幣政策與民眾的參考與依據。 Taylor在1993年提出美國聯邦資金利率的走勢符合泰勒法則這個新鮮的議題後，後續便有許多研究相關主題的文章，使得近來泰勒法則成為國內外注目的議題。Taylor指出美國聯邦資金利率的調整與通貨膨脹缺口、產出缺口存在線性的關係，Taylor認為當Fed以美國聯邦資金利率做為政策工具時，可以透過操作美國聯邦資金利率，達到穩定的通貨膨脹與實質產出的效果。 本研究以外顯泰勒法則（explicit Taylor Rule）VAR模型為基礎，並考慮預期完全正確下之內隱理性預期泰勒法則（implicit Taylor Rule）VAR模型以及ARMA模型，分別以我國資料驗證此三個模型並加以預測，結果三模型皆顯示未來利率為往上的趨勢，並以內隱理性預期泰勒法則之VAR模型最適合描繪我國隔夜拆款利率的走勢。

The main goal of Central Bank is to achieve a stable economy and reduce price volatility by operating different monetary tools. Increase in Central Bank transparency may lead financial markets and private sector better able to forecast, and then conveys economic benefits. Therefore, in 1993, the professor of Stanford University, John Taylor, examines that is there a simple policy rule of Central Bank to be the basis of monetary policy when competing with the inflation and recession. Taylor (1993) uses a simple rule to demonstrate trend and changes in the federal funds rate. After that, many researches follow this idea and Taylor’s rule becomes a popular issue all over the world. According to the rule, there is a linear relationship between federal funds rate, inflation gap and output gap. Using this information and setting the policy target, the Fed can maintain a stable economy and low volatile price by adjusting federal funds rate and operating in FOMC. This paper uses two models related to the Taylor’s rule and one pure time series model to exam the interest rate’s movement in Taiwan. The first two models are the explicit Taylor Rule VAR model using the actual inflation rate and implicit Taylor Rule VAR model using the correct anticipated inflation rate. The result shows that interest rate will go upward in the month ahead in all the three models, and the implicit Taylor Rule VAR model is the best model to describe Taiwan’s interest rate.