Estimation of a Taiwan monetary reaction function with time varying parameters
This paper employs a nonlinear Kalman filter to examine the time-varying responses of Taiwan's monetary policy in the presence of a limited dependent variable. The Kalman filtered parameters reveal that the responses are not constant but change over time. Furthermore, a counter-cyclical reaction function is identified and a stronger than usual discretionary policy during the recessions is found.
Year of publication: |
2000
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Authors: | Shen, Chung-Hua |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 32.2000, 4, p. 459-466
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Publisher: |
Taylor & Francis Journals |
Saved in:
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