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題名:運用時變參數向量自我迴歸模型探討貨幣政策之有效性
書刊名:經濟論文
作者:陳俊廷 引用關係張勝凱 引用關係
作者(外文):Chen, Jiun-tingChang, Sheng-kai
出版日期:2019
卷期:47:1
頁次:頁31-73
主題關鍵詞:利率貨幣政策傳遞機制貝氏向量自我迴歸模型時變參數馬可夫鏈蒙地卡羅Interest rateTransmission mechanism of monetary policyBayesian vector autoregressionTime varying coefficientMarkov Chain Monte Carlo
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:24
  • 點閱點閱:4
期刊論文
1.Nakajima, J.(2011)。Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach。The B.E. Journal of Macroeconomics,11(1),1-24。  new window
2.Bernanke, B. S.、Boivin, J.、Eliasz, P.(2005)。Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach。Quarterly Journal of Economics,120(1),387-422。  new window
3.Watson, Mark W.、Stock, James H.、Sims, Christopher A.(1990)。Inference in Linear Time Series Models with Some Unit Roots。Econometrica,58(1),113-144。  new window
4.Sims, Christopher A.(1992)。Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy。European Economic Review,36(5),975-1000。  new window
5.陳旭昇、吳聰敏(20100300)。臺灣貨幣政策法則之檢視。經濟論文,38(1),33-59。new window  延伸查詢new window
6.Kim, S.、Shephard, N.、Chib, S.(1998)。Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models。Review of Economic Studies,65(3),361-393。  new window
7.Bernanke, B. S.、Blinder, A. S.(1992)。The Federal Funds Rate and the Channels of Monetary Transmission。American Economic Review,82(4),901-921。  new window
8.Bernanke, Ben S.、Mihov, Ilian(1998)。Measuring Monetary Policy。Quarterly Journal of Economics,113(3),869-902。  new window
9.Banbura, Marta、Giannone, Domenico、Reichlin, Lucrezia(2010)。Large Bayesian Vector Auto Regressions。Journal of Applied Econometrics,25(1),71-92。  new window
10.Canova, F.、Forero, F.(2015)。Estimating Overidentified, Nonrecursive, Time-Varying Coefficients Structural Vector Autoregressions。Quantitative Economics,6(2),359-384。  new window
11.Cogley, T.、Sargent, T.(2005)。Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.。Review of Economic Dynamics,8(2),262-302。  new window
12.Fujiwara, I.(2006)。Evaluating Monetary Policy When Nominal Interest Rates Are Almost Zero。Journal of the Japanese and International Economies,20(3),434-453。  new window
13.Gelman, A.、Rubin, D.(1992)。Inference from Iterative Simulation Using Multiple Sequences。Statistical Science,7,457-511。  new window
14.Kimura, T.、Kobayashi, H.、Muranaga, J.、Ugai, H.(2003)。The Effect of the Increase in the Monetary Base of Japan's Economy at Zero Interest Rates: An Empirical Analysis。Monetary Policy in a Changing Environment,19,276-312。  new window
15.Koop, G.、Korobilis, D.(2010)。Bayesian Multivariate Time Series Methods for Empirical Macroeconomics。Foundations and Trends in Econometrics,3,267-358。  new window
16.Miyao, Ryuzo(2002)。The Effects of Monetary Policy in Japan。Journal of Money, Credit and Banking,34(2),376-392。  new window
17.Nakajima, J.(2011)。Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications。Monetary and Economic Studies,29,107-142。  new window
18.Primiceri, G.(2005)。Time Varying Structural Vector Autoregressions and Monetary Policy。Review of Economic Studies,72(3),821-852。  new window
19.Schenkelberg, H.、Watzka, S.(2013)。Real Effects of Quantitative Easing at the Zero Lower Bound: Structural VAR-Based Evidence from Japan。Journal of International Money and Finance,33,327-357。  new window
20.Baumeistera, C.、Benati, L.(2013)。Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound。International Journal of Central Banking,9(2),165-212。  new window
21.Carter, C. K.、Kohn, R.(1994)。On Gibbs Sampling for State Space Models。Biometrika,81(3),541-553。  new window
 
 
 
 
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