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題名：貨幣政策與通貨膨脹之兩篇論文
作者：吳若瑋
作者(外文)：Wu, Jo-Wei
校院名稱：國立中正大學
系所名稱：國際經濟研究所
指導教授：吳致寧
學位類別：博士
出版日期：2013
主題關鍵詞：利率法則；即時資料；反景氣循環；門檻模型；通貨膨脹預測；長期利率；要素分析；Interest rate rule；Real-time data；Counter-cyclical monetary policy；Interest-rate smoothing；Threshold model；Forecasting Inflation；Long term interest rate；Factor analysis
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本論文由兩篇獨立的研究所組成的，首先探討央行貨幣政策行為中資料訊息的問題，並探討央行之利率法則是否具不對稱性。為此本論文建構可適用於估計台灣利率法則之即時資料，並估計央行之利率法則。在1990年至2011年間之實證結果指出，不論在名目匯率變動率大於或小於門檻值之期間下，利率自迴歸係數為正且小於1，產出缺口及通貨膨脹率對利率之影響皆顯著為正。名目匯率缺口對利率之影響在名目匯率變動率大於門檻值之期間顯著為負，然在名目匯率變動率小於門檻值之期間則顯著為正。此顯示央行之貨幣政策具平滑性，反景氣循環性及阻升助貶之特性。
接著探討有關通貨膨脹率預測的問題，由於通貨膨脹的穩定有助於國家長遠經濟發展，亦是影響投資報酬的主要關鍵因素，因此無論在政策制定、學術研究或實務界中，通貨膨脹的預測有其重要性。本論文強調於通膨預測時應同時考慮其他國際間有用的訊息，因此在費雪假說下，藉由長期利率中所隱含有關未來通膨之訊息，並利用要素分析法，融合19個OECD國家之長期利率中的訊息，來探討是否有助於改善通貨膨脹率的預測。在1985年至2011年之研究期間，實證結果顯示透過要素分析法，自長期利率中萃取之共同成分，有助於改善19個OECD國家在未來中短期的通貨膨脹率預測。此表示欲對未來通貨膨脹進行預測時，尤其是開放程度較高的國家，除考量本國利率（因素）外，應同時考量其他國家或國際利率（因素），尤其是長期資產的價格，在選擇適當的變數集合下，透過要素分析法可助於改善未來通膨的預測。
Abstract
This dissertation is compeised of two independent essays. The first part of this dissertation constructs the real-time data of Taiwan and then applies it to examine the interest rate rule of the central bank of the Republic of China (Taiwan) since 1990. Empirical results indicate that the autocorrelation coefficient of interest rates is positive but less than one and that the impact of output gap and inflation gap on interest rates are positive regardless of exchange-rate regimes. These results indicate that the central bank adopts interest-rate smoothing and a counter-cyclical monetary policy rule. Moreover, the impact of the exchange-rate gap on interest rates is significantly negative in the depreciation regime, but significantly positive in the appreciation regime. These results indicate that the central bank's monetary policy has the property of preventing appreciation but promoting depreciation of the New Taiwan dollar.
　　The second part of this dissertation explores inflation forecast. Inflation forecast is important in both academic research and policy making. We emphasize on the inflation forecast should also take into account other countries or international information. Under the Fisher hypothersis, long term interest rate contains future inflation information. Therefore, we construct a comovement of international interest rate using the long term interest rate for 19 OECD countries. We find that the predictive accuracy for factor models better than domestic interest rate forecast models. This suggests that other countries or international information are a source of the data that could beneficial for forecasting inflatioin.
參考文獻
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