Estimation of a Taiwan monetary reaction function with time varying parameters

Authors
Citation
Ch. Shen, Estimation of a Taiwan monetary reaction function with time varying parameters, APPL ECON, 32(4), 2000, pp. 459-466
Citations number
27
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS
ISSN journal
00036846 → ACNP
Volume
32
Issue
4
Year of publication
2000
Pages
459 - 466
Database
ISI
SICI code
0003-6846(20000315)32:4<459:EOATMR>2.0.ZU;2-Q
Abstract
This paper employs a nonlinear Kalman filter to examine the time-varying re sponses 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 fun ction is identified and a stronger than usual discretionary policy during t he recessions is found.