| URN |
etd-0706110-104547 |
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| Author |
An-ni Lin |
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| Author's Email Address |
No Public. |
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| Statistics |
This thesis had been viewed 886 times. Download 829 times. |
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| Department |
Economics |
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| Year |
2009 |
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| Semester |
2 |
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| Degree |
Master |
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| Type of Document |
|
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| Language |
zh-TW.Big5 Chinese |
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| Title |
Monetary transmission mechanism in Taiwan- Application of FAVECM model. |
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| Date of Defense |
2010-07-02 |
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| Page Count |
65 |
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| Keyword |
Generalized Impulse Response Function
monetary transmission mechanism
Factor Model
Factor-Augmented Vector Error Correction Model (FAVECM)
|
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| Abstract |
This study discusses the monetary policy transmission mechanism in the different
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 factoraugmented
vector autoregression (FAVAR) model to analyze long-run and shortrun
dynamics of non-stationary variables. This recenly derived FAVECM model
combines the advantages of factor model and the VECM model.
The estimations are conducted using 174 macroeconomic time series in monthly
frequency for the period January 2000 to September 2009. Results indicate that
interbank call loan rate, deposit rate and prime lending rate are conintegrated,
which provides sufficient evidence of the existence of the credit channel in monetary
transmission system. Other GIRF results are generally consistent of the expected
monetary policy effectiveness. |
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| Advisory Committee |
Ming-Jang Weng - chair
Tzu-wei Wang - co-chair
Chingnun Lee - advisor
|
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| Files |
indicate access worldwide |
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| Date of Submission |
2010-07-06 |
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