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Estimation of a Taiwan monetary reaction function with time varying parameters

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Abstract:

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.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/000368400322624

Publication date: March 20, 2000

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