Title page for etd-0521115-175619


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URN etd-0521115-175619
Author Ching-Fang Cho
Author's Email Address No Public.
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Department Economics
Year 2014
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Learning, Augmented Taylor Rule and Real Exchange Rate Dynamics´╝ŹThe Evidence From Taiwan
Date of Defense 2015-06-10
Page Count 58
Keyword
  • interest rate reaction function
  • Taylor rule
  • real exchange rate
  • rational expectation
  • learning
  • Abstract This paper extends the analysis of Mark (2009), and we combine augmented Taylor rule with uncovered interest parity to build the model of real exchange rate. Our model is presented in a learning environment, and we compare the result of rational expectation path and learning path. Moreover, we also examine the policy rule of the Central Bank. In our empirical results, whether the Central Bank follows a forward-looking Taylor rule or not, the correlation between learning path and real exchange rate is higher than rational path. Besides, we find that the correlation of forward-looking Taylor rule is higher under rational expectation, but the correlation of backward-looking Taylor rule is higher under learning. Although the learning model is closer than rational expectation model to reality, our results under learning cannot explain the dynamic properties of real exchange rate for quarterly returns.
    Advisory Committee
  • Shu-Ling Chiang - chair
  • Yu-Hau Hu - co-chair
  • Jyh-Lin Wu - advisor
  • Files
  • etd-0521115-175619.pdf
  • indicate access worldwide
    Date of Submission 2015-06-22

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