請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/10021完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 毛慶生 | |
| dc.contributor.author | Chiang-Li Lai | en |
| dc.contributor.author | 賴強立 | zh_TW |
| dc.date.accessioned | 2021-05-20T20:56:18Z | - |
| dc.date.available | 2011-08-01 | |
| dc.date.available | 2021-05-20T20:56:18Z | - |
| dc.date.copyright | 2011-08-01 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-07-28 | |
| dc.identifier.citation | 沈中華 (1998). “使用門檻 Taylor Rule 衡量台灣貨幣政策”，『1998年總體經濟 計量模型研討會』，中央研究院經濟研究所.
陳旭昇，吳聰敏 (2010). “台灣貨幣政策法則之檢視”，台大經濟系. 曹添旺，賴景昌，鍾俊文，郭炳伸，蔡文禎 (2002), 新臺幣實質有效匯 率指數之動態，分析臺灣經濟預測與政策，32:2，93-130 Bai, J., Chen, H., and Chong L. T. (2009), The theory and applications of TAR model with two threshold variables. Bai, J. and Perron, P. (2003), Computation and analysis of multiple structure change models, Journal of Applied Econometrics, 18:1, 1-22. Dueker, M. J. and A. M. Fischer (1996), Inflation targeting in a small open economy: Empirical results for Switzerland, Journal of Monetary Economics, 37, 89-103. Enders, W (2004), Applied Econometric Time Series, 2th, Wiley Fuhrer J. C., Estrella A. (2003), Monetary policy shifts and the stability of monetary policy models, The Review of Economics and Statistics, 85(1), 94-104 Hakes, D., S. Gamber and C. H. Shen (1998), Does the Federal Reserve lexicographically order its policy objectives?, Eastern Economic Journal, 24:2 Hamilton, J. D. (1989), A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357-84 Hansen, B. (1997), Inference in TAR models, Studies in Nonlinear Dynamics and Econometrics, 2, 1-14. ---------(2000), Sample splitting and threshold estimation, Econometrica, 68, 575- 603. ---------(2001), The new econometrics of structure change: Dating breaks in U.S. labor productivity, Journal of Economic Perspectives, 15:4, 117-128. McCallum, B. T. (1988), Robustness properties of a rule for monetary policy, Carnegie-Rochester Conference Series on Public Policy, 29, 173-204. Potter, S. M. (1995). A nonlinear approach to US GNP. Journal of Applied Econometrics, 10, 109-125 Perlin, M. (2011), http://www.mathworks.com/matlabcentral/fileexchange/15789 Shen, C. H., and D. S. Hakes (1995), Monetary policy as a decision-making hierarchy: The case of Taiwan, Journal of Macroeconomics, 17:2, 357-68. Satchell S. and Dacco R. (1999), Why do regime-switching models forecast so badly?, Journal of Forecasting, 18, 1-16 Taylor, J. B. (1993), Discretion versus policy rules in practice, Carnegie-Rochester Conference Series on Public Policy, 39, 195-214. Tong, H. (1983). Threshold models in non-linear time series analysis, Springer: New York. Tong, H., and Lim, K. S. (1980), Threshold autoregression, limit cycles and cyclical data, Journal of the Royal Statistical Society. B, 42, 245-292 Tsay, R. S. (1989). Testing and Modeling Threshold Autoregressive Processes, Journal of the Royal Statistical Society B, 84: 231-240 Wu, T. M., and Chen, S. S. (2009), Taiwan’s exchange rate and macroeconomics policies over the business cycles, Symposium on exchange rate systems and macroeconomics policies in Asia: Lessons from past experiences and outlooks amid global economic slowdown, Nanyang Technological University. Zivot, E. and Andrews, D. (1992), Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis, Journal of Business and Economic Statistics, 10:3, 251-270 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/10021 | - |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-20T20:56:18Z (GMT). No. of bitstreams: 1 ntu-100-R98323006-1.pdf: 7017763 bytes, checksum: b92d12244a91b9baeaf514379949276c (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | TABLE OF CONTENTS
謝詞 i 摘要 v Abstract ……………………………………………………………………………...vi LIST OF TABLES viii LIST OF FIGURES………………………………………...……………………….ix 1.Introduction 1 2. Related Literature 4 2.1 Policy Reaction Function 4 2.2 Econometric Approaches 5 3. Empirical Model 8 4. Model Estimation 10 4.1 Model Specification and Estimation 10 4.2 Hypothesis testing 11 5. Data Sources 13 6. Estimation Result 17 6.1 Estimation results, Threshold variable: 〖re〗_(t-1) 17 6.2 Estimation Result, Threshold Variable: e_(t-1) 21 6.3 robustness check and forecast 23 References 28 | |
| dc.language.iso | zh-TW | |
| dc.title | 利率政策之結構性改變 : 以臺灣中央銀行為例 | zh_TW |
| dc.title | Structure Change in Interest Rate Policy:Evidence from Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 林建甫,陳旭昇 | |
| dc.subject.keyword | 泰勒法則,利率政策反應函數,中央銀行,門檻式迴歸, | zh_TW |
| dc.subject.keyword | threshold autoregression,interest rate reaction function,central bank, nonlinear response,policy goal, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2011-07-28 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-100-1.pdf | 6.85 MB | Adobe PDF | 檢視/開啟 |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。