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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94671


    Title: 臺灣央行重貼現率變動對市場利率之影響
    Authors: 陳立衡
    Contributors: 郭炳伸
    陳立衡
    Keywords: 事件研究法
    央行
    重貼現率
    市場利率
    Date: 2008
    Issue Date: 2016-05-09 11:27:25 (UTC+8)
    Abstract: 本文主要以事件研究法驗證1994-2008年間，央行調整重貼現率對於市場長短期利率的影響。我們發現台灣利率市場面對央行調整重貼現率有顯著的反應，且利率市場的反應隨著期數的增加而逐漸減弱。並將央行調整重貼現率的影響分為事前的預期、宣告日當天及事後學習的效果。在短期利率方面，宣告日的效果最為明顯，對於長期利率則是延遲反應的學習效果比較顯著。

    另外再將台灣利率市場分為於隨機調整、連續15次升息及15次降息三個時間區間，發現隨機調整的期間預期效果最強，有可能是於這段期間央行多採用技術性的調整，而連續15次降息的總效果最強，表示央行降息政策於這一段時間區間內最有效，連續15次升息的區間則是完全不顯著，於這段區間內，因市場資金寬鬆，央行升息並不能帶動市場利率提升。

    最後將事件研究法的區間由宣告日前後七天擴大為前後十五天，檢驗是否有未捕捉到的效果，我們發現十四天的區間與三十天的區間效果並沒有差異，顯示台灣利率市場面對央行調整重貼現率的反應多在前後七天內就反應完成。若與其他研究比較，國外利率市場事前的預期效果較為顯著，國內則是事後學習效果較為顯著，未來可以此為研究方向，繼續深入探討在各國市場機制不同下，市場利率面對央行調整重貼現率的影響。
    Reference: 1. Balduzzi, P., G. Bertola, S. Foresi and L. Klapper (1998). Interest rate targeting and the dynamics of short-term rates. Journal of Money, Credit and Banking 30 (1), 26-50.

    2. Cook, T., and T. Hahn (1988). The informational content of discount rate announcement and their effect on market interest rates. Journal of Money, Credit and Banking 20 (2), 167-180.

    3. Cook, T., and T. Hahn (1989). The effect of changes in the federal funds rate target on market interest rates in the 1970s. Journal of Monetary Economics 24 (3), 331-351.

    4. Fama, E., and R. Bliss (1987). The information in long-maturity forward rates. The American Economic Review 77 (4), 680-692.

    5. Mankiew, G. and J. Miron (1986). The changing behavior of the term structure of interest rates. Quarterly Journal of Economics 101 (2), 211-228.

    6. Rai, A., R. Seth and S.K. Mohanty (2007). The impact of discount rate changes on market interest rates: Evidence from three European countries and Japan. Journal of International Money and Finance (26), 905-923.

    7. Roley, V.V., and R. Troll (1984). The impact of discount rate changes on market interest rates. Federal Reserve Bank of Kansas City Economic Review 69 (1), 27-39.

    8. Rudebusch, G.D., (1995). Federal Reserve interest rate targeting, rational expectations and the term structure. Journal of Monetary Economics 35 (2), 245-274.

    9. Thornton, D., (1982). Discount rates and market interest rates: what’s the connection? Federal Reserve Bank of St. Louis Review 64 (6), 3-14.

    10. Thornton, D., (1994). Why do t-bills rates react to discount rate changes? Journal of Money, Credit and Banking 26 (4), 839-850.

    11. Thornton, D., (1998). The informational content of discount rate announcements: what is behind the announcement effect? Journal of Banking and Finance 22 (1), 83-108.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    95351037
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0953510371
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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