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    Title: The Monetary Policy Reaction Function for Taiwan: A Narrative Approach
    Authors: Huang, River H.-C.;Shen, Chung-hua
    Contributors: 淡江大學財務金融學系
    Keywords: Gibbs sampler;data augmentation;narrative approach;monetary policy reaction function.
    Date: 2001-06
    Issue Date: 2011-10-24 10:34:13 (UTC+8)
    Publisher: Blackwell Publishers
    Abstract: 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.
    Relation: Asian Economic Journal 15(2), pp.199-215
    DOI: 10.1111/1467-8381.00131
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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