| 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 | en |
| ISSN | 1467-8381 1351-3958 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | AUS |
| 公開徵稿 | |
| 出版型式 | 紙本 電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72575 ) |
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