Modeling the Money Market Interest Rates in East Asia
| Autor: | Ching-Shun Lin, 林敬舜 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 The money market interest rates are an important variable of monetary policy. Taylor (1993) proposed a simple model to describe the monetary interest rate decisions of the FED. In this study we apply Taylor rule and modify the models of Qin and Enders (2008) in East Asian markets. We also introduce U.S. money market interest rates in the model specification. Moreover we consider the possible effect on growth from the term spreads, and choose periods before and after the Asian financial crisis as different sample. We estimate the optimal model for countries by different criterions. Our results show that the monetary policy of East Asian central banks can be divided such as AIC, BIC, and MSPE into two groups. The first group focus on the domestic macroeconomic variables. The second group follows the U.S. interest rate policy and those second group countries' exchange rate policy tends to fix the price to the U.S. dollar as well for example, Hong Kong, Singapore, and Taiwan. Finally, our results also suggest that the monetary policy in Malaysia and Philippines has been changed before and after the Asian financial crisis. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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