The Impact of The Monetary Polciy in Taiwan-A FAVAR Model Approach
碩士 === 國立中山大學 === 經濟學研究所 === 99 === This paper applies a Factor-Augmented VAR model proposed by Bernanke, Boivin and Eliasz (2005) to measure the impact of the monetary policy in Taiwan. Our empirical results show that, first, the more the factors added in the benchmark VAR, the more we can explain...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37806025315451678534 |
| Summary: | 碩士 === 國立中山大學 === 經濟學研究所 === 99 === This paper applies a Factor-Augmented VAR model proposed by Bernanke, Boivin and Eliasz (2005) to measure the impact of the monetary policy in Taiwan. Our empirical results show that, first, the more the factors added in the benchmark VAR, the more we can explain the price puzzle problem. Second, the effect of the tightening in the monetary policy (the increase in the interbank overnight lending rate) is inconsistent with the results expected by the credit channel.
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