This study revists Purchasing Power Parity (PPP) and discusses the monetary
policy transmission mechanism in exchange rate channels. The analysis is
conducted using generalized impulse response functions derived from a Factor-
Augmented Vector Error Correction (FAVECM) model.
The FAVECM methodology as developed by Lee (2009) extends the Factor-
Augmented Vector Autoregression (FAVAR) model to analyze long-run and shortrun
dynamics of non-stationary variables. This recently derived FAVECM model
combines the advantages of factor model and the VECM model.
The estimations are conducted using 157 macroeconomic time series in monthly
frequency for the period January 2000 to September 2009. Results indicate that
PPP exists and expansionary devaluation effect in Taiwan. Other GIRF results
are generally consistent of the expected exchange rate effectiveness.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0715110-125436 |
| Date | 15 July 2010 |
| Creators | Pan, Ying-ying |
| Contributors | Chingnun Lee, Tzu-wei Wang, Yuan-Ho Hsu |
| 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-0715110-125436 |
| Rights | not_available, Copyright information available at source archive |
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