Monetary Policy, Globalization and the New-Keynesian Phillips Curve
Resource
經濟論文叢刊, 41(3), 219-250
Journal
經濟論文叢刊
Journal Volume
41
Journal Issue
3
Pages
219-250
Date Issued
2013-09
Date
2013-09
Author(s)
鄭漢亮
Abstract
Taiwan has experienced finance reform and monetary policy change since 1988 and seen an increased level of globalization and reduced volatility of inflation. These changes may lead to a structural change of the New-Keynesian Phillips curve. This paper constructs a small open stochastic general equilibrium model and derives the New-Keynesian Phillips curve to examine the effects of finance reform and monetary policy change on the slope of the curve. The results show that besides financial reform, the monetary policy change which stabilized the price level was a main factor increasing slack in the New-Keynesian Phillips curve after 1988. To confirm the conclusions above, we employ a state-space model and AR(p) to obtain expected inflation, and then estimate the slope of the reduced form Phillips curve. This supports the above conclusion. Furthermore, variance decomposition analysis shows that monetary policy shocks and technology shocks were the main contributors to the business cycle before 1988, while investment efficiency shocks and technology shocks became the main factors after 1988.
Subjects
隨機動態均衡模型, 新凱因斯菲利普曲線, 最大概似估計法 (dynamic stochastic general equilibrium model, New-Keynesian, Phillips curve, MLE)
Type
journal article
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