教師資料查詢 | 類別: 期刊論文 | 教師: 黃河泉 HO-CHUAN HUANG (瀏覽個人網頁)

標題:The Monetary Policy Reaction Function for Taiwan: A Narrative Approach
學年89
學期2
出版(發表)日期2001/06/01
作品名稱The Monetary Policy Reaction Function for Taiwan: A Narrative Approach
作品名稱(其他語言)
著者Huang, River H.-C.; Shen, Chung-hua
單位淡江大學財務金融學系
出版者Blackwell Publishers
著錄名稱、卷期、頁數Asian Economic Journal 15(2), pp.199-215
摘要This paper estimates the Taiwan’s monetary policy reaction function using a unique data set of narrative-based monetary policy indicators. In particular, we introduce a probit model with autocorrelated errors to take into account the specific features of the discreteness of the dependent variable as well as the serial dependence in time series data. A practical sampling scheme via the Gibbs sampler with data augmentation algorithm is developed to make posterior inference.Empirical evidence shows that the monetary policy responds ountercyclically to the inflation rate but not to the economic growth rate. In addition, we find that the autoregressive parameters are significantly positive in all cases. This suggests that estimating the binary monetary policy reaction function without considering the serially correlated errors would be inappropriate, if not incorrect.
關鍵字Gibbs sampler; data augmentation; narrative approach; monetary policy reaction function.
語言英文
ISSN1467-8381;1351-3958
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別澳洲
公開徵稿
出版型式紙本;電子版
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