The Role of Emotion Factor in the Monetary Policy Transmission Process-Structural Factor-Augmented VAR Approach

• Main Authors: Chu-chi Lin, 林祝吉
• Other Authors: Nai-fong Kuo
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/03977808294212174511

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 98 === This paper shows a question, how the market emotion affects on Taiwanese monetary policy and what kind of the role is the market emotion played in the monetary policy transmission process. Cecchetti et al. (2009) point out that the financial crisis leads broader monetary policy, through the monetary transmission chanels, the effect impact a century’s real economic activity. In these chanels, the confidence plays an importent role. Thus, this thesis employs two structal factor-augmented vector auto- regressive models, one is integrate the maket emotion and another doesn’t, to investigate how the market emotion affects on the performance of Taiwainese monetary policy for 295 variables, include global factor, real economic activity factor, inflation factor, money factor, financial market factor, market emotion factor, interest factor, and Taiwanese real effect exchange rate since 2001:01 to 2009:07. The finding is the market emotion doesn’t affect monetary policy to contral the inflation and the exchange rate. But the market emtion expands the money factor’s influence to financial market by the sencetive analysis. Overall, the result proves that the market emotion plays a catalysis role in the Taiwanese monetary policy transmission menchanism.