泰勒法則下不同產出缺口估計之台灣地區實證研究

Since the liberalization of the interest, the central bank of Taiwan puts more emphasis on the growth of monetary quantity. By setting and declaring the target value of it, the central bank of Taiwan can reach the price stabilization and the promotion of economic growth. In fact, only caring for the stabilization of the monetary quantity may lead to the fluctuation of the interest rate, and only minding the stabilization of the interest can result rise and fall in the monetary quantity. Therefore, under the presupposition of price stabilization, the central bank should focus on the importance to not only the growth of monetary quantity but also interest stabilization at the same time.
When competing with the inflation and recession, is there a simple policy rule of the central bank to be the reference and basis of monetary policy, and meanwhile to provide the public to explain and predict the variable trend of short-term interest rate? The “Taylor rule” by John Taylor in Stanford University in 1993 is a model to analyze and predict Federal funds rate. Due to the simple and clear form of this rule, as well as its referential value, it leads to a variety of applications in the academic and practical fields.
The Taylor rule suggests that the adjustment of short-term interest rate is a function of policy reaction based on the output gap and inflation rate gap. While actual value of output and price is higher than goal value, then interest rate rises, whereas actual value of output and price is lower than goal value, the interest rate lowers. Therefore, through the adjustment of short-term nominal interest rate, two goals of steadying real output and inflation can be reached. However, in practice, output gap is an unobserved variable. Past literature most used time series methods to estimate it. Consequently, in the context I will use two filter models, Hodrick-Prescott filter (HP filter) and Beveridge-Nelson filter (BN filter), to estimate output gap.
This research first tries to use different methods to estimate the output gap, and then make use of the results in the Taylor rule to estimate the overnight interest rate in Taiwan, as well as compare with the differences of Taylor rule based on two different filter models. Conclusions as follows: HP filter method is a better way to predict and estimate output gap. In addition, if external technical improvement factor can be taken into consideration and then extend the model, the estimate of output gap derived from the model will be more precise, and will help the results used in the Taylor rule.