ARE POLICY RULES BETTER THAN THE DISCRETIONARY SYSTEM IN TAIWAN?

This article investigates whether the Central Bank of China in Taiwan (CBC) would have had a more successful monetary policy during the period 1978:3 to 1999:4 if it had followed an optimal rule rather than the discretionary policies that were actually employed. The article examines the use of three different instruments—the rediscount rate, M2, and reserve money—with several different targets—the growth rate of nominal output, inflation, the percentage change in the exchange rate, and the growth rate of a monetary aggregate. Only 4 of 64 rules considered resulted in a statistically significant improvement in the performance of the Taiwanese economy. Given that this study analyzes the economy of Taiwan with revised data that were not available to the CBC in real time, and given that so few of the rules would have improved the economy's performance, it is concluded that the performance of the CBC has been very good.     

The effects of monetary policy: a DSGE model analysis of Taiwan

This article attempts to use empirical data to analyse the impact of monetary policy in a dynamic stochastic general equilibrium model. According to the monetary policy decisions of the Central Bank of China (Taiwan), maintaining price, financial stability and fostering economic growth are the ultimate goals of monetary policy during the empirical period. First, this article uses the cointegration tests to determine the operating targets, the intermediate targets and the ultimate goals of monetary policy. Then, a forward-looking aggregate demand–aggregate supply model for a small open economy is specified, and policy discretion is included in this model. Finally, the model is estimated by a linear state space model and is used to analyse the short-run effects of a systematic monetary change.     

Is Monetary Policy Too Tight?

Monetary policy has steadily become tighter over the past twelve months. In various statements, the Government has indicated its view that monetary policy needs to be tight in order to subdue an 'excessively high' rate of growth of domestic demand. This article asks whether the current stance of monetary policy is now too restrictive and, if so, what the consequences might be for the pattern and growth of economic activity during 1989-90. A number of scenarios based on alternative settings of monetary policy in 1989-90 are derived from a short-term simulation model of the Australian economy. The scenarios suggest that, if monetary policy remains at the current degree of tightness, the Australian economy may well experience a recession in 1989-90. Some easing of monetary conditions is mandatory if a sharp and unnecessary slowdown of economic activity is to be avoided. Exactly how far monetary policy should be eased depends crucially on the rate of growth of autonomous investment.     

Foreign output shock in small open economies: A welfare evaluation of monetary policy regimes

We examine the impact of negative foreign output shocks, which entail negative demand side effects by lowering exports and positive supply side effects by lowering oil prices, on the welfare of non-oil producing, small open economies under five exchange rate and monetary policy regimes. We use a dynamic stochastic general equilibrium model with parameter values calibrated for Hong Kong, Israel, Singapore, South Korea and Taiwan. We find that welfare levels among the five policy regimes depend on the economy's share of oil imports in world oil consumption. Hong Kong, Singapore and Israel, which have smaller shares, maximize welfare under the Taylor rule, which targets both CPI inflation and real output. South Korea, with higher shares, and Taiwan, with more rigid prices, maximize welfare under real output targeting. CPI inflation targeting, nominal output growth targeting and fixed exchange rate regimes generate lower welfare. However, optimal monetary policy, which generates the highest welfare, gives greater weight on real output than CPI inflation.     

基于MS-VECM模型的我国货币政策非对称研究与启示

通过建立马尔可夫区制转移误差修正模型（MS-VECM）模拟我国货币政策对经济的非对称影响,以此分析我国货币政策的有效性。根据经济波动幅度,将我国经济划分为高波动和低波动两个区制状态,经济增长波动剧烈的区制下向均衡状态调整速度快于经济波动幅度较低区制下的调整,论证了我国货币政策对经济的影响在不同区制下存在非对称性。并用模型对我国经济状况进行了模拟预测,利用这种非线性的模型能够很好地预测货币与产出增长关系,表明现阶段我国经济运行状态是一低波动区制下的正常回落,目前不宜出台强扩张性的货币政策刺激经济增长。     

Income redistribution during a disinflation

This paper estimates the income redistribution among different sectors of society that results from a government disinflation policy. A model of wage setting in the U.S. economy is developed and then simulated for alternative money growth paths and private-sector behavioral parameters. It is found that a sudden change in monetary policy can cause significantly more income redistribution than a slow monetary deceleration. The paper concludes that a monetary policy rule which generates greater price stability may encourage a wage-setting rule in which wages are more responsive to monetary policy.     

Optimal Choice of a Proximate Monetary Target in an Open Economy*

This paper investigates the implications of hitting a monetary target (rate of interest or money supply) in an open economy. The technique of linear optimal control is applied to a small open economy of the Australian economy. A feature of the model is the interrelationship between the monetary and open sectors which complicates the use of monetary policy. Four optimal control experiments are reported in detail. The results indicate that we should aim for a money-supply target rather than an interest-rate target and that some assistance from fiscal policy should be provided to monetary policy in order to achieve this target.     

The influence of Taiwan’s stock market on Bitcoin’s price under Taiwan’s monetary policy threshold

ABSTRACT

This study uses a smooth transition autoregressive model with exogenous variables (STARX) to investigate whether there is a nonlinear relationship between Bitcoin and Taiwan’s stock market taking into account Taiwan’s monetary policy threshold during 2 February 2012 to 31 August 2019. The statistical results show there is a threshold effect and confirm a nonlinear relationship between Taiwan’s stock market and Bitcoin, with variations over time and across Bitcoin and Taiwan’s stock market. Specifically, we find that Bitcoin responds asymmetrically to Taiwan’s stock market according to the threshold value. Furthermore, the return on the closing price of TAIEX with a lag of two periods under Taiwan’s monetary policy threshold has a nonlinear impact on the return on the closing price of Bitcoin.     

低利率时期的货币政策效果——台湾地区及日本经验

日本央行在最近一波的景气衰退中被指为货币政策操作不佳,因其似乎只专注降低利率而忽视其它传递管道.货币政策在景气差的低利率时期是否能有效果是本文所要探讨的.台湾地区货币主管部门在上一波不景气中也不断以调降利率作为因应,因此本文利用VAR(向量自我回归)模型分别针对台湾地区及日本这两段经济不景气的低利率时期进行讨论分析.根据冲击反应分析显示,不论是台湾地区或日本在观察样本期间都得到货币政策无效的结论,其中台湾地区可能存在"投资陷阱";日本则发现存在"流动性陷阱".     

基于资产价格影响的货币政策非对称性效应研究

利用NK-SVAR模型就我国货币政策的非对称性效应进行研究,结果表明,紧缩性货币政策的效果比较明显,而扩张性货币政策效果较弱.货币冲击的紧缩效应强于扩张效应,这表明抑制经济的过快增长时紧缩性的货币政策效果显著,但扩张性货币政策无法摆脱经济的恶性衰退.     

How to avoid the consequences of anticipated monetary policies

Summary. This paper analyzes how monetary policy in an overlapping generations model can be designed to avoid inflationary consequences of anticipated changes of monetary policies. Avoiding these inflationary consequences will require a once and for all increase (decrease) in monetary growth immediately before the policy switch takes place if the relative risk aversion is greater (less) than unity. If the relative risk aversion is greater than unity, the avoidance of inflationary consequences is also time-consistent. Moreover, a general monetary feedback rule ensures that the economy picks the steady state with the lowest inflation rate. Our results suggest that the difference between unanticipated and anticipated policy switches may not be as important as generally assumed, because the consequences of the latter can be neutralized. Received: September 19, 1995; revised version: July 27, 1998     

经济开放度与货币政策有效性的实证分析

通过运用Karras建立的产出增长率和通货膨胀模型,采用向量自回归VAR框架,分析经济开放度对我国货币政策效果的影响。回归结果表明,无论是以M0作为货币政策的测度指标,还是以M1作为货币政策的测度指标,它们都反映出:在长期,经济开放度的提高会削弱货币政策的有效性;但从短期来看,经济开放度的提高不一定会削弱货币政策的有效性,有时反而会提高货币政策的有效性。     

The Sovereign Yield Curve and the Macroeconomy in China

A dynamic Nelson–Siegel model is adopted to estimate three time‐varying factors of yield curves, the level, the slope and the curvature, and a vector autoregressive model is built to study interactions between macro variables and the yield curve. Results show that, first, money supply growth is a more effective instrument to curb inflation than the monetary policy interest rate; however, the central bank also adjusts the interest rate to stabilize money supply. Second, investment is an important measure to stimulate the Chinese economy, but it also pushes up money supply growth, which results in higher inflation. Third, the yield curve reacts significantly to innovations to investment growth and money supply growth. The segmentation of China's bond market hinders the efficient implementation of monetary policy, and the monetary policy transmission mechanism is still weak in China. Finally, interactions between the yield curve and the macroeconomy in China are nearly unidirectional. Macroeconomic variables reshape the yield curve, but direct adjustments of the yield curve do not significantly change macroeconomic variables. Due to the incomplete liberalization of financial markets, there exists a wide disjunction between the real economy and financial markets in China.     

The cost of capital,asset prices,and the effects of monetary policy

The primary objective of this paper is to study the interaction between monetary policy, asset prices, and the cost of capital. In particular, we explore this issue in a setting where individuals face idiosyncratic risk. Incomplete information also provides a transactions role for money so that monetary policy can be studied. In contrast to standard monetary growth models which focus on the transmission of monetary policy to the demand for capital goods, we incorporate a separate capital goods sector so that the supply response to monetary policy is taken into account. Consequently, in contrast to the standard monetary growth model, monetary policy plays an important role in investment activity through the relative price of capital goods. Moreover, different sources of productivity can affect the degree of risk sharing. Although the optimal money growth rate falls in response to an increase in productivity in either sector of the economy, monetary policy should react more aggressively to the level of productivity in the capital sector.     

The inequality channel of monetary transmission

We examine optimal monetary policy in the presence of inequality by introducing unskilled agents with no access to the financial system into a DSGE model with sticky prices. Our main results are: (i) a contractionary interest rate shock increases inequality, while inflation and the output gap fall; (ii) the welfare-based objective of monetary policy includes inequality stabilization; (iii) as the proportion of unskilled agents increases, welfare decreases; and (iv) under scarcity of skilled agents, monetary policy is weakened, while fiscal policy produces a more relevant impact on the economy.     

中国经济开放度与货币政策有效性研究

在Hau(2000)模型中引入工资交错调整和交易成本假设,以此构建开放经济条件下货币政策有效性分析基础模型,并通过一般均衡分析后发现,经济开放对货币政策的最终目标——价格稳定和产出增长都会产生影响。贸易开放程度和金融开放程度的加深,将增强货币供给对短期汇率调整的影响;而经济开放度的加深,虽然在短期内会削弱货币政策对产出的影响,但从长期来看,将会对产出调整起积极作用。同时,运用校准法模拟分析后发现,随着我国经济开放度的提高,货币政策调节短期消费和产出的能力将会下降,特别是宽松的货币政策将更多地表现在汇率波动上。     

Optimal monetary policy in a Phillips-curve world

In this paper, we study optimal monetary policy in a model that integrates the modern theory of unemployment with a liquidity model of monetary transmission. Two policy environments are considered: period-by-period optimization (time consistency) and full commitment (Ramsey allocation). When the economy is subject to productivity shocks, the optimal policy is pro-cyclical. We also characterize the long-term properties of monetary policy and show that with commitment the optimal inflation rate is inversely related to the bargaining power of workers. Both results find empirical support in the data.     

Household debt,macroprudential rules,and monetary policy

Today's Canadian economy features a historic high of household debt and persistently low growth rate. The average debt-to-GDP ratio has reached the level experienced in the U.S. just prior to the recent financial crisis. In this paper, we ask whether monetary policy should lean against the household indebtedness or macroprudential policies are better suited for the task. To provide a quantitative answer, we develop a small open economy dynamic stochastic general equilibrium model featuring a micro-founded banking sector. We estimate the model using Canadian data and conduct policy experiments. Our findings favor macroprudential approach to reining in indebtedness: using monetary policy that reacts to household debt increases inflation volatility and lowers borrowers' welfare, while using macroprudential policies such as lowering the loan-to-value ratio limit increases borrowers' welfare.     

Traded and non-traded goods: An empirical test with Nigerian data

An income expenditure model is used to describe the relationship between the balance of payments and price inflation of non-traded goods. Real and monetary approaches to the balance of payments suggest different relationships among these variables, and compatible elements of the monetary approach are incorporated into the income-expenditure model. The model is then tested with Nigerian data for the period 1960–1979. The pattern of economic growth and conduct of monetary policy make the Nigerian economy a convenient test of the empirical significance of these macroeconomic relationships.     

货币政策对住宅商品房价格影响的区域差异——来自我国31省份的证据

我国房地产市场的发展演进与我国宏观经济走向有着密切的关系。由于我国不同地区间经济发展水平各异，经济运行特点有别，我国区域住宅商品房市场价格与宏观经济的联动关系以及对货币政策的反应效力均呈现出了明显差异。本文根据我国31省份的相关宏观数据，通过VAR/PVAR模型及统计学方法，研究发现了能够解释各区域住宅商品房价格趋势被持续维持的“正螺旋反馈机制”及货币政策的时滞效应。基于此，可将全国各省份的住宅商品房价格趋势的形成类型划分为货币政策主导型、经济增长主导型、混合主导型与房地产主导型。