The Determinants of Short-term Interest Rate in Taiwan

• Main Author: 鍾筱芳
• Other Authors: 朱美麗
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/93114268206113899247

碩士 === 國立政治大學 === 行政管理碩士學程 === 94 === The purpose of this paper is to analyze the determinants of short-term interest rate variation in Taiwan. This paper attempts to examine whether the external factors or internal factors influence the volatility of the short-term rate in Taiwan. ADF unit root test is adopted to check the characteristics of variable series; Johansen’s maximum likelihood method is used to analyze the determinants of short-term interest rate variation in Taiwan based on monthly data from April 1989 to December 2004.The empirical results shows that the rate of commercial paper, consumer price growth rate, real economic growth rate, unanticipated M2 growth rate, U.S. treasury bill rate, balance on treasury bill and net excess reserves are I(1) time series. Besides, those variables have one cointegration relationship with common trend. Specifically, the rate of commercial paper is significantly positively correlated with consumer price growth rate, real economic growth rate, unanticipated M2 growth rate and U.S. treasury bill rate, and is significantly negatively correlated with net excess reserves. Therefore, the variation of short-term interest rate in Taiwan is determined by both external and internal factors.