本文主要探討在 1994 年至 2022 年間，美國的貨幣政策對台灣經濟的外溢效果。其間 2008 年的全球金融危機使美國開始實施量化寬鬆政策，因此本文亦比較 2008 金融海嘯前後美國貨幣政策造成的外溢效果之差異。詳言之，本文探討美國貨幣政策衝擊會透過何種管道外溢至台灣，以及台灣央行會對美國貨幣政策衝擊做出何種政策回應，而此種回應對經濟又會有何後果。我們採取因子結構向量自我廻歸模型，以貝氏方法估計台灣總體經濟變數對美國貨幣政策的衝擊反應函數。同時藉由反事實分析方法，假設台灣央行對美國貨幣政策衝擊不採取回應，探究前述的衝擊反應函數在此假設下有何改變。實證結果發現，美國若採取降低利率的寬鬆貨幣，將可能造成全球的大宗商品價格上升，進而對台灣形成負面的供給面衝擊，造成對總體產出下降與通膨上升。我們也發現，台灣央行在面對美國的寬鬆貨幣政策時，會以降低折現率的政策做為回應。央行的回應會部份抵銷美國的貨幣政策對台灣總體產出的外溢效果，但同時會使通膨方面的外溢效果更加劇烈。

In this paper, we aim to investigate the spillover effects of the US monetary policy on the Taiwanese economy from 1994 to 2022. As the Fed started implementing quantitative easing policy since the wake of the global financial crisis in 2008, we also compare the spillover effects of the US monetary policy before and after the 2008 financial crisis. Specifically, the paper examines how the impact of US monetary policy spills over to Taiwan through various channels and analyzes the policy responses of the Taiwan central bank to the impact of US monetary policy, along with the resulting economic consequences. We employ a factor structural vector autoregressive model and use Bayesian methods to estimate the impulse response function of Taiwan's macroeconomic variables to US monetary policy. Through counterfactual analysis, we explore how the aforementioned impulse response function changes under the assumption that the Taiwan central bank does not respond to the impact of US monetary policy. Empirical results suggest that if the United States adopts a expansionary monetary policy that lowers interest rates, it could potentially lead to a global increase in commodity prices, resulting in negative supply-side shocks for Taiwan, leading to decreased overall output and increased inflation. We also find that in the face of loose US monetary policy, the Taiwan central bank responds by lowering the discount rate. This response partially offsets the spillover effects of the US monetary policy on Taiwan's overall output, but intensifies the spillover effects on inflation.

摘要 ---------------------------------------------------------- ii
ABSTRACT ----------------------------------------------------- iii
誌謝 ---------------------------------------------------------- v
1 介紹 -------------------------------------------------------- 12
2 文獻回顧 ---------------------------------------------------- 15
3 資料與模型設定 ---------------------------------------------- 19
3.1 模型 ----------------------------------------------------- 19
3.1.1 因子結構 VAR 模型 --------------------------------------- 19
3.2 總體經濟變數資料 ------------------------------------------ 22
3.3 衝擊認定與符號限制 (SIGN RESTRICTION) --------------------- 24
3.4 貝氏估計法 ----------------------------------------------- 25
4 實證結果 --------------------------------------------------- 30
4.1 美國貨幣政策於不同外溢管道下的 VAR 結果 -------------------- 30
4.2 台灣貨幣政策反事實分析結果 -------------------------------- 31
4.3 比較 2008 金融風暴前後，美國貨幣政策於不同外溢管道下的 VAR 結果 - 32
4.3.1 VAR 比較結果 ---------------------------------------------- 32
4.3.2 台灣貨幣政策反事實分析結果 ---------------------------------- 34
4.4 預測誤差變異數分解 ------------------------------------------- 35
5 結論 ---------------------------------------------------------- 38
6 參考文獻 ------------------------------------------------------- 40

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