本文研究目的係以台灣作實證研究，針對這樣一個逐漸開放的小型經濟體系，分析影響其短期利率變動的因素，並驗證其短期利率的變動是否僅受到國外因素（如國外利率）變動的影響，或者是僅受到國內因素（如預期物價膨脹、貨幣供給、景氣、財政及市場資金狀況等）變動的影響，亦或者是兩者皆有。本文以1989年4月到2004年12月這段期間月資料的時間數列為樣本，利用Dickey & Fuller(1981)之ADF單根檢定法來確定變數之數列特性，並採用Johanson (1988)所提出最大概似估計法來分析影響台灣短期利率變動的因素。本文實證結果顯示，台灣31-90天商業本票利率與消費者物價指數年增率、實質經濟成長率、意外貨幣成長、美國三個月國庫券利率、國庫券發行餘額及金融機構平均淨超額準備皆為I(1)數列，並具有一組共整合關係，顯示彼此間具有共同趨勢。其中商業本票與消費者物價指數年增率、實質經濟成長率、意外貨幣成長及美國三個月國庫券利率呈現顯著正向關係，而與金融機構平均淨超額準備呈現顯著負向關係，由此可知，台灣短期利率不僅受到國內因素的影響,亦同時受到國外因素的影響。 / 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.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0919210341 |
| Creators | 鍾筱芳 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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