The liquidity effect of open market operation in Taiwan

• Main Authors: Fang-Lan Tsou, 鄒芳蘭
• Other Authors: Kuang-Ping Ku
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/77086321172919591064

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 98 === This study used both the monthly and daily data from Feb. 1, 2001 to December 31, 2009 to explore the liquidity effect of central bank’s open market operation on overnight rate. In addition, we also examine that the central bank''s open market operations have a structural change or not, during the financial tsunami period, which division point of the data was 15 September, 2008 (the key day of the financial crisis). In other words, it was observed that whether the central bank after that day had unusual and more active open market operations to effectively control the overnight rate. The empirical results show that daily data get more in line with liquidity effects theory of coefficients. On the whole, the price instrument of open market operations (average interest rate of certificates deposit) affects overnight weighted average interest rate effectively. The quantity tools of open market operations (market funding gap; certificates of deposit''s the amount of the net recovery, liquidity) on overnight weighted average interest rate effects are generally not significant. In other words, open market operations lack liquidity effects. After the key day of the financial crisis, the open market operations in the price of tools have significant structural changes while amount of tools have no significant structural change.