In this study, neutral real interest rate gap and output gap are estimated jointly under two different multivariate unobserved components models with the motivation to provide empirical measures that can be used to analyze the amount of stimulus that monetary policy is passing on to the economy, and to understand historical macroeconomic developments. In the analyses, Kalman filter technique is applied to a small-scale macroeconomic model of the Turkish economy to estimate the unobserved variables for the period 1989-2005. In addition, two alternative specifications for neutral real interest rate are used in the analyses. The first model uses a random walk model for the neutral real interest rate, whereas the second one employs more structural specification, which specifically links the neutral real rate with the trend growth rate and the long-term course of the risk premium. Comparison of the models developed by using various performance criteria clearly indicates the use of more structural specification against random walk specification. Results suggest that though there is relatively high uncertainty surrounding the neutral real interest rate estimates to use them directly in the policy-making process, estimates appear to be very useful for ex-post monetary policy evaluations.

立法院於1992年2月26日修定保險法第146條，將國外投資正式列入保險業資金運用之項目，引導保險業參與國外金融市場。保險業因國內利率環境與資本市場欠缺長天期金融工具下，衍生顯著利差損問題，而國外金融商品的多樣性、高創新能力與高收益率似乎提供保險業資金投資選擇。 本研究嘗試透過不同構面的探討，將國外投資所面臨的風險與金融主管機關的監理措施加以說明，並詳細分析資產負債管理策略－資產負債區隔，建議保險業者應從資產負債管理出發，考量不同性質負債，尋找適合金融資產做為支撐之標的，如此才能透過搭配性質相近且年期適合的國外金融工具進行負債面的管理，使得國外投資能充份地發揮其多樣性與享有較高之投資收益。 亦應利用支撐負債面之金融資產組合所計算出來市場利率做為負債面評價基礎，做到資產與負債皆採用市價評估，更能反應保險公司真實的價值，並可做為主管機關監理參考。保險業者除透過資產負債區隔了解本身國外資產配置的適當性外，應輔以嚴謹的風險管理機制與自律機制，如此才能保有永續經營的能力。 / The article 146 of Insurance Law had been amended by Legistrative Yuan on 26 February 1992. It allows insurance company invests funds into foreign financial assets and across boundary to attend foreign markets. Taiwan insurance industry face significant losses from the actual credit interest lower than the credit interest rate due to economic environments and lack of long-term investment vehicles. The foreign financial market with multiplicity, innovation and higher yield seems to provide Taiwanese insurance companys a channel to resolve its interest rate gap problem. This research employs boarder discussions on the foreign investment risk of the life insurance industry from various angles. This paper also analyzes the control issues from regulator’s rerspective and outlines the asset-liability management tool “segmentation”. We also provide suggestions to Taieanese life insurance industry to adopt the asset and liability segmentation as their major tool in performing oversea investment. In the same time, the realistic surplus of the insurance company can be monitored by measuring the difference between mark to market assets and contingency liability that is calculated by market yield from replicated portfolio. In recent years, the foreign investment play a major role in Taiwanese Life insurance company’s asset portfolio, hence they are required to carefully monitor appropriate financial assets to support their liabilities. It also includes enhancing the risk management framework and self-control mechanism in order to maintain their business ability.