利率政策之結構性改變 : 以臺灣中央銀行為例

Structure Change in Interest Rate Policy:Evidence from Taiwan

賴強立(Chiang-Li Lai)

指導教授 ： 毛慶生

國立臺灣大學/社會科學院/經濟學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.03102

摘要

無資料

關鍵字

泰勒法則 ； 利率政策反應函數 ； 中央銀行 ； 門檻式迴歸

並列摘要

This paper adopts a threshold autoregressive (TAR) model to capture the central bank interest rate reaction function of Taiwan. We modify the Taylor rule by using real effective exchange rate as the threshold variable. The TAR setting is able to recover the central bank’s nonlinear responses when facing different exchange rate level. This paper also discusses the procedure to determine an appropriate exchange rate target, estimate a TAR model, locate the threshold effect, and perform out-of-sample forecast. This paper shows different exchange rate targets change the result. Except the era after the 2008 financial crisis, it seems that Taiwan’s central bank behavior is consistent over the last decades while there were several economic crises and different chairmen.

並列關鍵字

threshold autoregression ； interest rate reaction function ； central bank, nonlinear response ； policy goal

參考文獻

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Bai, J., Chen, H., and Chong L. T. (2009), The theory and applications of TAR model with two threshold variables.

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