[[alternative]]A Nonlinear Analysis of the Term Structure of Interest Rates and Central Bank Policy Reaction

計畫編號：NSC101-2410-H032-022 研究期間：201208~201307 研究經費：516,000[[abstract]]不論是作為貨幣政策之中間目標抑或貨幣政策變化的指標，說明長短期利率互動關係之利率期限結構，在總體經濟分析以及貨幣政策執行扮演相當重要之角色。而預期假說為最常見解釋利率期限結構之理論。然實證研究指出，相對於美國而言，以歐洲資料進行 的分析較能支持預期假說的成立。對於這一點，文獻指出應該與期限貼水的變化具持續性，以及央行施行利率平滑化之貨幣政策有關。此外文獻研究也指出，貨幣政策在不同狀態的不同反應，使利率的變化與狀態差異有關，讓期限結構隱含的長短期利率關係也會因狀態不同而出現改變。為此，本研究將以非線性架構為基礎，針對台灣、日本、南韓以及新加坡等主要亞洲國家分別討論：(1)、期限結構關係是否與狀態變化有關，(2)、 期限結構、期限貼水以及貨幣政策三者之間的互動關係，以及(3)、以上亞洲各國的期限 結構或是貨幣政策的施行是否具有齊一性，藉以認定這些國家之間的經濟整合程度高低。[[abstract]]A Nonlinear Analysis of the Term Structure of Interest Rates and Central Bank Policy Reaction The term structure of interest rates, either as an intermediate target or as an indicator of policy instance, has long been recognized as playing an important role for macroeconomic modeling and the conduct of monetary policy. The expectation hypothesis of the term structure represents the most influential theoretical explanation for term structure relations. However, the most empirical findings indicate the hypothesis has been accepted with the data for European countries and rejected for the US. Among the numerous approaches dealing with these puzzles, persistent term premium and interest rate smoothing of central bank are well established. Besides, a large strand of the literature argue that regime shifts in monetary policy translate into regime shifts in interest rates and, thus, into regime-dependent behavior of term structure. Based on the data of major Asian countries, Taiwan, Japan, South Korea and Singapore, this research will employ a nonlinear approach to investigate the validity of the term structure under regime shifts, the relations between the term structure, term premium and monetary policy, and whether the term structure or the conduct of monetary policy is homogeneous in these Asian countries to identify the degree of economic integration among them.[[sponsorship]]行政院國家科學委員