The Effects of Monetary Policy and Foreign Exchange Intervention: Evidence from a FAVAR Model
2008/10/14
研討會日期 : 2008-10-14
時間 : 14:30
主講人 : 2008-10-14
地點 : B棟110室
演講者簡介 : 姚睿教授為美國威斯康辛大學(University of Wisconsin - Madison)經濟學博士(1996)。目前為中央大學經濟系副教授。其主要研究領域為總體經濟學及應用時間序列分析。
演講摘要 : This paper examines the effects of monetary policy and foreign exchange intervention policy for the U.S. in a data-rich environment. The interaction between these two policies may disguise the exchange rate channel of monetary policy. A factor-augmented vector autoregressive (FAVAR) model is employed to conduct the impulse response and forecast error variance decomposition analysis. This econometric method helps us to identify six common structural shocks that have caused these two policy variables to respond to. Factor-based monetary and foreign exchange intervention policy reaction functions are obtained. We find that the U.S. intervention policy is nearly fully-sterilized and the delayed or immediate overshooting is not observed.
