| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 99 === Macroeconomists have been interested in modeling the central bank's reaction function for long times. The central bank's reaction function plays an important role in a wide variety of macroeconomic analyses. By estimating the central bank's reaction function, it let us know the way of adjusting monetary policy and forecasting that changes in the central bank's policy instruments effect on other policy actions.
This paper uses Taylor’s rule and applies Hansen (2000) threshold model to examining whether monetary policy asymmetries exist in central bank’s reaction function. Sample period is from 1990 to 2010.The main findings of this study are stated as follows. First, the linear model can better describe the expectation of Taylor’s rule when the model takes account of asset prices. Second, only housing price growth rate has significantly threshold effect in the threshold model. Further, we find that central bank focuses on price stability when housing price growth ratio is below the threshold value but focuses on output gap, stock price and housing price growth ratio when housing price growth ratio is above the threshold value.
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