Monetary transmission mechanism in Taiwan- Application of FAVECM model.

• Main Authors: An-ni Lin, 林安妮
• Other Authors: Chingnun Lee
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/80950272649931229713

碩士 === 國立中山大學 === 經濟學研究所 === 98 === This study discusses the monetary policy transmission mechanism in the different channels. The analysis is conducted using generalized impulse response functions derived from a factor-augmented vector error correction (FAVECM) model. The FAVECM methodology as developed by Lee (2009) extends the factoraugmented vector autoregression (FAVAR) model to analyze long-run and shortrun dynamics of non-stationary variables. This recenly derived FAVECM model combines the advantages of factor model and the VECM model. The estimations are conducted using 174 macroeconomic time series in monthly frequency for the period January 2000 to September 2009. Results indicate that interbank call loan rate, deposit rate and prime lending rate are conintegrated, which provides sufficient evidence of the existence of the credit channel in monetary transmission system. Other GIRF results are generally consistent of the expected monetary policy effectiveness.