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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/73970


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    題名: Retrieving the vanishing liquidity effect—a threshold vector autoregressive model
    作者: Shen, Chung-Hua;Thomas Chiang, Chi-Nan
    沈中華
    貢獻者: 金融系
    關鍵詞: Liquidity effect;Threshold vector autoregressive model;Nonlinear impulse response function
    日期: 1999
    上傳時間: 2015-03-24 11:44:43 (UTC+8)
    摘要: This paper employs a threshold vector autoregressive (TVAR) model where the data is subdivided into low and high inflation regimes. Monetary policy is endogenized in this framework and two different measures of monetary policy, viz. NBR and M1, are investigated. The interest rate is hypothesized to respond inversely to increased monetary growth in the low inflation regime and positively to increased monetary growth in the high inflation regime. In the low inflation regime, expansionary monetary policy shocks are found to depress the interest rate over 10 and 5 periods for nonborrowed reserves and M1 growth, respectively. Whereas, in the high inflation regime, both measures generate positive responses. It follows that the hypothesized threshold behavior between money and the interest rate is supported regardless of monetary measures.
    關聯: Journal of Economics and Business , vol. 51, no. 3, pp. 259-277
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/S0148-6195(98)00021-6
    DOI: 10.1016/S0148-6195(98)00021-6
    顯示於類別:[金融學系] 期刊論文

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