Estimation of Taiwan's binary monetary policy reaction function
學年 90
學期 1
出版（發表）日期 2002-01-01
作品名稱 Estimation of Taiwan's binary monetary policy reaction function
作品名稱（其他語言）
著者 黃河泉; Huang, Ho-chuan; Shen, Chung-hua
單位 淡江大學財務金融學系
出版者 Emerald
著錄名稱、卷期、頁數 Journal of Economic Studies 29(2-3), pp.222-239
摘要 This paper proposes a probit regression with autocorrelated errors (PAR) to estimate the reaction function of monetary policy in Taiwan using newly constructed binary monetary indicators. We develop a practical sampling scheme via the Gibbs sampling algorithm with data augmentation to make posterior inference of the binary monetary policy reaction function. In contrast to the conventional approach, our method avoids the problem of multiple integrals by directly drawing values of latent variables from the relevant full conditional density along with all the other parameters. Empirical results show that the monetary authority responds to macroeconomic conditions asymmetrically. Specifically, in the high‐inflation regime, a contractionary monetary policy is implemented to reduce the inflation rate. Once inflation is under control, that is, in the low‐inflation regime, attention is paid to stimulating the growth of the economy.
關鍵字 Money;Policy;Taiwan;Narratives;Algorithms
語言 en
ISSN 0144-3585
期刊性質 國內
收錄於
產學合作
通訊作者
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,電子版
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