| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 101 === This thesis discusses the transmission channel of monetary policy in Taiwan. We use the
following time-series econometrics tools, including Unit Root Test, Johansen Cointegration
Test, VAR, Error Correction Model, Granger Causality Test and Impulse Response Function
and eight variables to explore the effect of transmission channel of monetary policy. The
result showed that aggregate demand was influenced by multiple methods and the relation
was close between interest rate and aggregate demand. 30 day commercial paper rate, stock
price index and real effective exchange rate index (REER) was affected when central bank
adjusts overnight interbank call-loan rate. Furthermore, the aggregate demand was also
affected by previous effects. The positive impulse of overnight interbank call-loan rate
affected both real GDP and monetary supply reversely. Therefore, overnight interbank
call-loan rate would be regarded as a better proxy variable for discussing contractionary
monetary policy. Nevertheless, the influence of monetary policy impulse toward overall bank
loan was less significant. The contradionary monetary policy impulse toward short term
overall bank loan had positive effect. Those findings were not identical with the expectation
credit channel of monetary transmission Mechanism. The results also reflected that the
influence of credit channel was not significant in Taiwan.
Finally, we add brand new variable, psychological expectation, for monetary policy to explore
the policy communication and transparency of monetary policy. In order to neutralize the
effect of psychological expectation and enlarge the credibility of central bank, central bank
should increase the transparency of monetary policy as possible as they could and state its
stance toward the practices clearly. This would ensure that the private sector would react
properly toward the effect of economic situation. Hence, monetary policy would achieve its
outcomes and goals efficiently.
|
|---|
