台灣之利率轉嫁與貨幣傳遞：各金融機構與零售利率的比較分析 在討論貨幣政策效果的議題時，多以官方利率或政策利率為依據，分析政策利率與產 出、物價以及匯率等主要總體經濟的互動，藉以瞭解貨幣政策的施行效果。然由貨幣政 策的傳遞過程顯示，官方利率主要透過對長短期存款以及放款利率等零售利率的影響， 再經由信用、利率與匯率管道等途徑，達到其影響貨幣政策終極目標之目的。因此零售 利率反應官方利率變化的幅度，實為影響貨幣政策施行成效的關鍵因素，此即文獻所謂 利率轉嫁議題。實證研究指出利率轉嫁效果多為不完整的、轉嫁效果會因官方利率漲跌 差異而不同、轉嫁效果會受制度或政策結構改變而出現差異，以及在不同金融機構與不 同零售利率上的轉嫁效果也不一樣，這些皆會影響官方利率對貨幣政策終極目標的作 用，進而影響貨幣政策的有效性。由於既有討論台灣利率轉嫁的文獻多以某單一存款、 放款利率代表零售利率，並未以不同銀行、不同存款、放款商品進行區隔，也未討論政 策、制度改變或不同央行總裁任期期間等因素，對利率轉嫁效果的影響。因此本研究擬 以這些議題為方向，以各個銀行不同存款利率以及放款利率為對象、以加總資料與個別 銀行資料分別進行分析，以及利用台灣利率自由化、中央銀行總裁任期以及金融風暴發 生等時間為區隔，討論利率轉嫁是否存在不對稱性？不同銀行部門、不同零售利率之不 對稱利率轉嫁效果是否有顯著差異？結構性改變是否會影響利率轉嫁的不對稱性？此 外也將透過估計結果，計算不同銀行部門、不同零售利率之平均調整落後期，藉以瞭解 貨幣政策改變後，零售利率所需調整時間長短的差異。研究內容也將利用貨幣政策方法 與資金成本方法兩個觀點進行區分，討論不同管道下的利率轉嫁作用以及調整速度，並 分析兩者的差異性。 Interest Rate Pass-Through and Monetary Transmission in Taiwan: A Comparative Analysis across Financial Firms and Retail Interest Rates Based on official rate or policy rate, the researchers analyze its interactions among with major macroeconomic variables, such as output, price and exchange rate to evaluate the efficacy of monetary policy. But according to the transmission processes of monetary policy, the policy rate affects the ultimate goals of monetary policy through its influences on retail rates, such as deposit rates and lending rates, and by the transmission channels such as credit channel, interest rate channel and exchange rate channel. So the magnitude of retail interest rates in response to changes in official rate, called interest rate pass-through, is the key to the success of monetary policy. The empirical studies indicate the interest rate pass-through is incomplete, its magnitude depends on the direction of changes of policy rate and the pass-through effect will be affected by structural changes and different across financial firms and retail interest rates. All of above are major determinants of the efficacy of monetary policy. In view of the existing studies about the interest rate pass-through of Taiwan, their analyses are based on single bank’s deposit or lending rate as representative rate and neglect the pass-through may be different across banks and retail interest rates and be affected by structural of policy changes. Based on the data of Taiwan, this research will take those issues no yet discussed into considerations and analyze whether the interest rate pass-through is asymmetric across financial firms and retail interest rates and the pass-through is subjected to be different due to structural changes such as policy changes or financial crisis. From the empirical results, the mean adjustment lag of complete pass-through from official rate to retail rates will be calculated to evaluate the time span of the monetary policy. Besides, the monetary policy approach and cost of funds approach of interest rate pass-through will also be discussed.
