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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0719111-144118 |
| Date | 19 July 2011 |
| Creators | Chu, I-Ching |
| Contributors | Chingnun Lee, Jyh-Lin Wu, Yu-Hau Hu |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0719111-144118 |
| Rights | not_available, Copyright information available at source archive |
Page generated in 0.002 seconds