人民銀行的貨幣政策反應函數

Abstract

研究中央銀行的貨幣政策一直是學術界、業界持續關心的議題，大國的貨幣政策更是全世界注目的焦點，中國經濟這幾年開始高速成長，加上近來兩岸開始密切交流，未來中國的景氣榮枯、貨幣政策皆會超越美國而成為台灣最大的影響者。 本文藉由人民銀行貨幣政策執行報告以及各貨幣工具的變動來建立人民銀行的貨幣政策指標，並嘗試估計出人民銀行從2001年1月至2008年12月的貨幣政策反應函數，並分為對稱模型以及非對稱模型，對稱模型透過敘述法估計分為兩類(Logit、Probit Model)以及三類(Ordered Probit Model)的貨幣政策反應函數，而在非對稱模型下，本文分別採用通貨膨脹率以及上海綜合指數報酬率作為門檻值變數，採用Rolling Chow Test估計門檻值。 本文實證結果發現，在對稱模型下可確實看出人民銀行是採取反循環貨幣政策，而在非對稱模型下，以通貨膨脹率做為門檻變數時確實存在顯著的非對稱性，而以上海綜合指數報酬率作為門檻變數時，有可能是隨機性的因素而出現與預期相反的情況。

Studying the monetary policy of central bank is always the issue which academia and the finance community concentrate on. China economy has been highly developed in the recent years. In addition, Taiwan and China start to communicate to each other closely in the recent years. China will become the most important economy which effects Taiwan in the world in the future. In this article the monetary policy implementing report of PBC and the change of each monetary instrument were used to build the monetary policy indicator of PBC. In addition, the monetary policy reaction function of PBC was estimated from January, 2001 to December, 2008. There are symmetric model and asymmetric model in this article. There are symmetric model and asymmetric model in this article. In symmetric model the Logit, Probit and Ordered Probit model of monetary policy reaction function were estimated by narrative approach. On the other hand, the inflation rate and the return rate of Shanghai Composite were used as threshold variables and the threshold value was estimated in Rolling Chow Test method in asymmetric model. The practical result shows that PBC used the countercyclical policy in the symmetric model. On the other hand, there is significant asymmetrical In the asymmetric model when inflation rate is taken as threshold variable. However, it shows opposed situation to the theory when the return rate of Shanghai Composite is taken as threshold variable.