Identifying the Effects of Monetary Policy in a Small Open Economy with Active Foreign Exchange Inte
2009/09/15
研討會日期 : 2009-09-15
時間 : 14:30
主講人 : 王泓仁教授
地點 : B110
演講者簡介 : 王泓仁教授為Ph.D. in Economics，University of Michigan (1998)。現為台灣大學經濟系教授與本所合聘研究員。其主要研究領域為貨幣政策、投資理論及應用計量。
演講摘要 : Using the VAR methodology, studies of Taiwan's monetary policy usually find small and insignificant effects on output. In this study, we examine the possibility that the minor effects are the consequences of CBT's foreign exchange interventions. Incompletely sterilized interventions may add noises to the overnight loan rate which is often used as the measure of monetary policy. The active intervention in the foreign exchange market may also clog the exchange rate channel of monetary policy. We construct a better variable measuring the monetary policy and conduct counterfactual simulations to investigate the issues. Results show that removing noises from the interest rate improves the estimation substantially, but the exchange channel does not seem to have important effects on the result.
