The Monetary Policy Reaction Function of PBC
Date Issued
2009
Date
2009
Author(s)
Tseng, Yu-Kun
Abstract
Studying the monetary policy of central bank is always the issue which academia and the finance community concentrate on. China economy has been highly developed in the recent years. In addition, Taiwan and China start to communicate to each other closely in the recent years. China will become the most important economy which effects Taiwan in the world in the future. In this article the monetary policy implementing report of PBC and the change of each monetary instrument were used to build the monetary policy indicator of PBC. In addition, the monetary policy reaction function of PBC was estimated from January, 2001 to December, 2008. There are symmetric model and asymmetric model in this article. There are symmetric model and asymmetric model in this article. In symmetric model the Logit, Probit and Ordered Probit model of monetary policy reaction function were estimated by narrative approach. On the other hand, the inflation rate and the return rate of Shanghai Composite were used as threshold variables and the threshold value was estimated in Rolling Chow Test method in asymmetric model. The practical result shows that PBC used the countercyclical policy in the symmetric model. On the other hand, there is significant asymmetrical In the asymmetric model when inflation rate is taken as threshold variable. However, it shows opposed situation to the theory when the return rate of Shanghai Composite is taken as threshold variable.
Subjects
PBC
monetary policy reaction function
Type
thesis
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