臺灣博碩士論文加值系統

本研究在診斷各種不同的貨幣政策訊號，例如重貼現率的改變、貨幣總計數M2年增率和講話，如何去影響台灣的利率期限結構。本文採用的利率期限結構模型，為Svensson（1994）延伸Nelson and Siegel（1987）的遠期利率函數之精簡模型。我們發現用Svensson 模型來估計公債市場不健全的台灣利率結構容易產生誤差，尤其在短天期和一年期的利率，使我們沒有發現未預期的短天期殖利率的變動主要是受到未預期重貼現率變動的影響。我們更發現講話對長期的利率期限結構是更重要的決定因素，我們的結論是中央銀行的溝通政策是貨幣政策行為中不可缺少的部分。

This paper examines how various monetary policy signals such as official discount rate changes、speeches and monetary aggregate M2 annual growth rate affect the structure of interest rates in Taiwan. The model of the thesis is based on the Svensson model (1994) which is the extension of the parsimonious model defined by Nelson and Siegel (1987). It is
being shown, that the term of interest rates, estimated based on Svensson model result in a fault value for Taiwan, due to a unsound bond market especially in the short term and one-year interest rates. There is no proof that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the official discount rate. Speeches
are found to be a more important determinant for the longer end of the term structure. The conclusion is that central bank communication is an essential part of the conduct of monetary policy.

第一章 緒論...................................................................1
第一節 研究背景與目...................................................1
第二節 研究架構...........................................................5
第二章 文獻回顧.......................................................... 6
第一節 透明度之回顧.................................................. 6
第二節 宣示效果之回顧.............................................10
第三節 利率期限結構之回顧.....................................15
第三章 研究方法.........................................................20
第一節 台灣公債殖利率曲線之配適.........................21
第二節 台灣的利率期限結構模型............................ 25
第四章 實證分析.........................................................31
第一節 資料來源與說明.............................................31
第二節 實證結果分析.................................................34
第五章 結論與建議.....................................................41
第一節 結論.................................................................41
第二節 研究限制.........................................................43
附錄..............................................................................46
參考文獻......................................................................67

中文部分
1. 林文琇（1989），廟堂之奧-對伏克爾時代的批判，國際金融參考資料第二十七輯。
2. 林宗耀（2001），利率期限結構與貨幣政策，中央銀行季刊，第二十三卷第二期，37-60。
3. 林文秀、黃晶晶、方耀摘（2001），資訊經濟下的貨幣政策，中央銀行季刊，第二十四卷第一期，83-100。
4. 李桐豪（2001），債劵市場發展對貨幣政策之影響，中央銀行季刊，第二十三卷第一期，23-46。
5. 吳懿娟（2006），我國貨幣需求穩定性之探討，中央銀行季刊，第二八卷第三期，5-48。
6. 胡峻豪（2006），台灣公債殖利率之總經實證，台北：東吳大學經濟研究所碩士論文。
7. 范書瑋（2007），台灣利率期限結構之建模分析，台北：輔仁大學金融研究所碩士論文。
8. 黃富櫻（2007），溝通政策，中央銀行季刊，第二十八卷第四期，43-80。
9. 張長征（2007），中國貨幣政策透明度提高對貨幣政策有效性影響的實證分析，鄭州經濟管理學院學報，河南：中國人民銀行鄭州培訓學院，第二十二卷第二期，36-40。
10. 麥梅嘉（2008），利率期限結構形狀之可預測性-澳洲公債實證研究，台北：台灣科技大學財務金融所碩士論文。

英文部分
1. Andersson, M., H. Dillen and P. Sellin, 2006, “Monetary Policy Signaling and Movements in the Term Structure of Interest Rates.” Journal of Monetary Economics, 53, 1815-1855.
2. Berg C., Lindberg, H., 2000, “Conducting Monetary Policy with a Collegial Board: The Swedish Legislation One Year on.” Sveriges Riksbank Working Paper, No. 105.
3. Blinder, Alan S., 1998, “Central Banking in Theory and Practice.” Cambridge: M.I.T. Press.
4. Canzoner, M., 1985, “Monetary Policy Games and the Role of Private Information.” American Economics Review, 75(5), 1056-1070.
5. Cook, T., Hahn, T., 1989, “The Effect of Changes in the Federal Funds Rate Target on Market Interest Rates in the 1970s.” Journal of Monetary Economics, 24,331-351.
6. Chortareas, G., D. Stasavage and G. Sterne, 2003, “Does Monetary Policy Transparency Reduce Disinflation Costs.”, mimeo.
7. Dillen, H., Hopkins, E., 1998, “Forward Interest Rates and Inflation Expectations: the Role of Regime Shift Premia and Monetary Policy.” Sveriges Riksbank
Working Paper, No. 54.
8. Evans, C.L., Marshall, D.A., 1998, “Monetary Policy and the Term Structure of Nominal Interest Rates: Evidence and Theory.” Carnegie-Rochester Conference Series on Public Policy, 49, 53-111.
9. Eijffinger, S.C.W., Hoeberichts, M., Schaling, E., 2000, “Why Money Talks and Wealth Whispers: Monetary Uncertainty and Mystique.” Journal of Money,
Credit, and Banking, 32(2), 218-235.
10. Favero, C. A., Iacone, F., Pifferi, M., 1996, “Monetary Policy, Forward rates and Long rates: Does Germany Differ from the Unites States?” CEPR Working Paper,
No. 1456.
11. Flemming, M. J., Remelona, E. M., 1999, “The Term Structure of Announcement Effects.” BIS Working Paper, No.71.
12. Faust, J., Svensson, L.E.O., 2001, “Transparency and Credibility: Monetary Policy with Unobservable Goals.” International Economic Review, 42, 369-397.
13. Fracasso, A., Genberg, H., Wyplosz, 2003, “How Do Central Banks Write?: An Evaluation of Inflation Reports by Inflation-Targeting Central Banks.” Geneva
Reports on the World Economy Special Report, No. 2.
14. Garfinkel, M.R., Seonghwan, O., 1985, “When and How much to Talk: Credibility and Flexibility in Monetary Policy with Private Information.” Journal of
Monetary Economics, 16, 341-357.
15. Goodfriend, M., 1986, “Monetary mystique: secrecy and central banking.” Journal of Monetary Economics, 17, 63-92.
16. Guthrie, G., Wright, J., 1998, “Market- Implemented Monetary Policy with Open Mouth Operations.” Discussion Paper, 1-28.
17. Guthrie, G., Wright, J., 2000, “Open Mouth Operations.” Journal of Monetary Economics, 46, 489-516.
18. Geraats, Petra M., 2002b, “Transparency of monetary policy: Does the institutional
framework matter?” mimeo, University of Cambridge.
19. Haldane, A. G., Read, V., 2000, “Monetary Policy Surprises and the Yield Curve.” Bank of England Working Paper, No.106.
20. Howells P., I. Mariscal, 2002, “Central bank transparency: a market indicator.” Discussion Paper 0305, University of the West of England, Department of
Economics.
21. Kuttner, K.N., 2001, “Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Future Market.” Journal of Monetary Economics, 47, 523-544.
22. Kohn, D.L. and B.P. Sack, 2003, “Central Bank Talk: Does it Matter and Why?” Forthcoming in: Macroeconomics, Monetary Policy, and Financial Stability, Ottawa: Bank of Canada.
23. Lewis, K.K., 1991, “Why Doesn’t Society Minimise Central Bank Secrecy?”Economic Inquiry, 29, 403-425.
24. Nelson, C. R., Siegel, A. F., 1987, “Parsimonious Modeling of Yield Curves.”Journal of Business, 60, 473-489.
25. Svensson, L.E.O., 1994, “Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994.” National Bureau of Economic Research Working Paper, No 4871.
26. Svensson, L.E.O., 1996, “Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets.” NBER Working paper, No. 5797.
27. Svensson, L.E.O., 2003, “What is wrong with Taylor rules? Using Judgment in Monetary Policy through Targeting Rules.” Journal of Economic Literature, 41, 426-477.
28. Woodford, M., 2001, “Monetary Policy in the Information Economy.” NBER Working Paper, No. 8674.