Title page for etd-0706110-104547


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URN etd-0706110-104547
Author An-ni Lin
Author's Email Address No Public.
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Department Economics
Year 2009
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Monetary transmission mechanism in Taiwan- Application of FAVECM model.
Date of Defense 2010-07-02
Page Count 65
Keyword
  • Generalized Impulse Response Function
  • monetary transmission mechanism
  • Factor Model
  • Factor-Augmented Vector Error Correction Model (FAVECM)
  • 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.
    Advisory Committee
  • Ming-Jang Weng - chair
  • Tzu-wei Wang - co-chair
  • Chingnun Lee - advisor
  • Files
  • etd-0706110-104547.pdf
  • indicate access worldwide
    Date of Submission 2010-07-06

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