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The Study of Monetary Policy Signaling and Movements in the Term Structure of Interest Rates in Taiwan

This paper examines how various monetary policy signals such as official discount rate changes¡Bspeeches and monetary aggregate M2 annual growth rate affect the structure of interest rates in Taiwan. The model of the thesis is based on the Svensson model (1994) which is the extension of the parsimonious model defined by Nelson and Siegel (1987). It is
being shown, that the term of interest rates, estimated based on Svensson model result in a fault value for Taiwan, due to a unsound bond market especially in the short term and one-year interest rates. There is no proof that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the official discount rate. Speeches
are found to be a more important determinant for the longer end of the term structure. The conclusion is that central bank communication is an essential part of the conduct of monetary policy.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0409109-130525
Date09 April 2009
CreatorsChang, Chih-yao
ContributorsYung-nian Tung, Yung-hsiang Ying, Shan-non Chin
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageCholon
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0409109-130525
Rightswithheld, Copyright information available at source archive

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