Estimation of a Taiwan monetary reaction function with time varying parameters

Chung-Hua Shen

Applied Economics, 2000, vol. 32, issue 4, 459-466

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.

Date: 2000
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DOI: 10.1080/000368400322624

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