The Monetary Policy Reaction Function of PBC
Date Issued
2014
Date
2014
Author(s)
Tseng, Yao-Hsun
Abstract
China became the third-largest economy. Their monetary policies attracts worldwide attention. Also, China is one of the most important trading partners of Taiwan. The policies of China will affect Taiwan economy widely. In this article, We used the monetary policy implement report of PBC and the variation of monetary policy instrument to build the monetary policy indicator of PBC by narrative approach. We try to estimate the monetary policy reaction function of PBC from January, 2005 to December, 2014. There are symmetric model and asymmetric model included in this article. In symmetric model, we estimated by Logit Model, Probit Model, and Ordered Probit Model. In addition, in asymmetric model, we used inflation rate as a threshold variable, and try to estimate it by rolling chow test. Besides, we attempt to find the housing price effect on monetary policy reaction function. The practical result shows that the PBC followed the countercyclical policy in the symmetric model. Also, in asymmetric model, there is an asymmetry when we used the inflation rate as a threshold variable.
Subjects
PBC
Monetary Policy
Narrative Approach
Type
thesis
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