About: How Does Monetary Policy Change? Evidence on Inflation Targeting Countries

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper, we examine the evolution of monetary policy rules in a group of inflation targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) applying moment estimator at time-varying parameter model with endogenous regressors. This methodology has several important advantages for estimation of policy rules. In particular, unlike the Markovswitching methods, it models the policy as gradually evolving rather than imposing its sudden switches from (one regime to another). It also deals with the issue of endogeneity in policy rules and delivers superior statistical properties in small samples than the traditional Kalman filtering. Our main findings are threefold. First, monetary policy changes gradually pointing to the importance of applying time-varying estimation framework. Second, the interest rate smoothing parameter is much lower that what previous time-invariant estimates of policy rules typically report. In this paper, we examine the evolution of monetary policy rules in a group of inflation targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) applying moment estimator at time-varying parameter model with endogenous regressors. This methodology has several important advantages for estimation of policy rules. In particular, unlike the Markovswitching methods, it models the policy as gradually evolving rather than imposing its sudden switches from (one regime to another). It also deals with the issue of endogeneity in policy rules and delivers superior statistical properties in small samples than the traditional Kalman filtering. Our main findings are threefold. First, monetary policy changes gradually pointing to the importance of applying time-varying estimation framework. Second, the interest rate smoothing parameter is much lower that what previous time-invariant estimates of policy rules typically report. (en)
Title	How Does Monetary Policy Change? Evidence on Inflation Targeting Countries How Does Monetary Policy Change? Evidence on Inflation Targeting Countries (en)
skos:prefLabel	How Does Monetary Policy Change? Evidence on Inflation Targeting Countries How Does Monetary Policy Change? Evidence on Inflation Targeting Countries (en)
skos:notation	RIV/67985556:_____/14:00433679!RIV15-GA0-67985556
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GBP402/12/G097)
http://linked.open...iv/cisloPeriodika	3
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Horváth, Roman Baxa, Jaromír
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	19768
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/14:00433679
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Inflation Targeting; Time-Varying Parameter Model; Endogenous Regressors (en)
http://linked.open.../riv/klicoveSlovo	Inflation Targeting Endogenous Regressors Time-Varying Parameter Model
http://linked.open...odStatuVydavatele	GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV	[5CD5C9B4281E]
http://linked.open...i/riv/nazevZdroje	Macroeconomic Dynamics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	DYME-Dynamic Models in Economics
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	18
http://linked.open...iv/tvurceVysledku	Horváth, Roman Baxa, Jaromír Vašíček, B.
http://linked.open...ain/vavai/riv/wos	000338417600005
issn	1365-1005
number of pages	38 (xsd:int)
http://bibframe.org/vocab/doi	10.1017/S1365100512000545

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