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Estimation of a Taiwan monetary reaction function with time varying parameters

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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.
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Document Type: Research Article

Publication date: 2000-03-20

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