| Abstract: | 本文以 Stock and Watson (2005)的方法為基礎,分析台灣的貨幣政策。除了依循 Stock and Watson (2005)的作法外,我們也考慮到台灣為小型開放國家 ,易受大國的影響,且美國為我們主要的貿易國之一,故考慮加入美國資料,並比較有無美國資料下的台灣貨幣政策分析。實證結果顯示,加入美國後的實證結果較符合經濟理論,且在考慮美國資料之下 ,使貨幣供給 (M2)對各變數的變異解釋優於隔夜拆款利率,表示貨幣供給對各變數的波動解釋的能力高於隔夜拆款利率。若央行以貨幣供給為貨幣工具,則政策的直接影響層面會較隔夜拆款利率大。在匯率分析中,我們發現貶值反而導致緊縮的現象,但外匯的操作是一種內生性質很高的的變數,再加上外匯操作常伴以貨幣市場的沖銷政策,因此我們很難去探討匯率變動對經濟變數的影響。此結果可作為未來貨幣政策分析的一種參考。In this paper, we adopt the structure FAVAR model to analysis the Taiwan’s monetary policy proposed by Stock and Waston (2005). In addition to follow Stock and Watson (2005) approach, We also consider Taiwan as a small open country, it is vulnerable to the impact of larger country. The U.S as one of our major trading countries, so we consider joining the U.S. data to compare with or without this data under monetary policy analysis. In the result, we knowe the result is more consistent with the economic theory after adding the US’s data. For exchange rate analysis, we found that depreciation will lead to depression, but the foreign exchange operation is a highly endogenous variable, in addition the foreign exchange operates often accompanied by sterilized intervention. Therefore, it is difficult to explore the exchange rate how to effect the economic variables. The results can be used as a reference for monetary policy analysis. |
