以時間數列模型析論泰勒法則下台灣利率之走勢

• Main Authors: Yi-Chun Shen, 沈怡均
• Other Authors: 林建甫
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/23508208745164040111

碩士 === 國立臺灣大學 === 經濟學研究所 === 93 === 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.