貨幣政策對利率的影響 : 以美國Fed為例

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Title:	貨幣政策對利率的影響 : 以美國Fed為例
Other Titles:	The impact on interest rates of monetary policy
Authors:	許豑勻;Hsu, Chih-yun
Contributors:	淡江大學財務金融學系碩士在職專班李命志;Lee, Ming-chih
Keywords:	貨幣政策;雙變量-GARCH;多變量-GARCH;聯邦準備理事會;聯邦資金目標利率;monetary policy;Fed fund target rate;GARCH
Date:	2006
Issue Date:	2010-01-11 00:59:41 (UTC+8)
Abstract:	本文利用雙變量GARCH模型，同時討論聯邦資金市場利率對於指標利率水準及條件波動度的影響。本文並針對貨幣政策預期或非預期的改變，以及政策透明度對於指標利率變化之影響，利用多變量GARCH模型做進行進一步之驗證。聯邦資金期貨利率改變對於長短期利率之影響，無論在利率水準及波動程度上皆顯著。聯邦資金現貨利率、聯邦資金目標利率之改變僅對短期利率之利率水準及波動度有影響，對長期利率僅影響其波動度。無論聯邦資金目標利率預期或非預期的改變，皆僅對短期利率水準有所影響，長期利率水準之影響並不顯著；此外，聯邦資金目標利率非預期的改變，會減低長短期利率的波動度，而預期的改變將增加長短期利率的波動度。最後當FOMC之政策立場被充分揭露時，對指標利率的波動度影響較小。 This study uses the bivariate-GARCH model to show that the impact of the Fed fund spot rate has significant effect on the volatility of the key rate, but not the level of the key rate .The impact of the Fed fund futures rate has significant effect on the level of the key rate. In addition, this study shows that the expected and unexpected changes in the target rate have significant effect on the level and the volatility of the interest rates by the multivariate-GARCH. The unexpected changes in the target are with large and positive effects on the key rates, especially in short-term interest rate. Finally, the FOMC’s increased disclosure of its policy stance is good for the market in general.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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