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Estimating monetary policy rules when the zero lower bound on nominal interest rates is approached

Kiesel, Konstantin; Wolters, Maik H. - 2014

Monetary policy rule parameters estimated with conventional estimation techniques can be severely biased if the … estimation sample includes periods of low interest rates. Nominal interest rates cannot be negative, so that censored regression … methods like Tobit estimation have to be used to achieve unbiased estimates. We use IV-Tobit regression to estimate monetary …

Persistent link: https://www.econbiz.de/10010235450

Estimation of a forward-looking monetary policy rule : a time-varying parameter model using ex post data

Kim, Chang-jin; Nelson, Charles R. - In: Journal of monetary economics 53 (2006) 8, pp. 1949-1966

Persistent link: https://www.econbiz.de/10003394388

Estimating the FOMC's interest rate rule with variable selection and partial regime switching

Check, Adam - In: Macroeconomic dynamics 27 (2023) 2, pp. 297-330

Persistent link: https://www.econbiz.de/10014247371

Estimation of a Forward-Looking Monetary Policy Rule : A Time-Varying Parameter Model Using Ex-Post Data

Kim, Chang-jin; Nelson, Charles R. - 2004

In this paper, we consider estimation of a time-varying parameter model for a forward-looking monetary policy rule, by … achieve efficiency in estimation by employing the standardized prediction errors for inflation and GDP gap as bias correction …

Persistent link: https://www.econbiz.de/10014069025

Monetary Policy, Rule-of-Thumb Consumers and External Habits: A G7 Comparison

Di Bartolomeo, Giovanni; Rossi, Lorenza; Tancioni, … - 2009

This paper extends the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model to agents who cannot smooth consumption (i.e. spenders) and are affected by external consumption habits. Although these assumptions are not new, their joint consideration strongly affects some...

Persistent link: https://www.econbiz.de/10010343913

Estimation of Monetary Policy Preferences in a Forward-Looking Model : A Bayesian Approach

Ilbas, Pelin - 2010

In this paper we adopt a Bayesian approach towards the estimation of the monetary policy preference parameters in a …

Persistent link: https://www.econbiz.de/10013137593

Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach

Ilbas, Pelin - In: International journal of central banking : IJCB 6 (2010) 3, pp. 169-209

Persistent link: https://www.econbiz.de/10008907975

Estimation of Monetary Policy Preferences in a Forward-Looking Model : A Bayesian Approach

Ilbas, Pelin - 2008

In this paper we adopt a Bayesian approach towards the estimation of the monetary policy preference parameters in a …

Persistent link: https://www.econbiz.de/10012723869

Parameter Identification in an Estimated New Keynesian Open Economy Model

Adolfson, Malin - 2011

parameters if a suitable set of observable variables are included in the estimation. These findings suggest that we can learn a … a classical viewpoint, ML estimation leads to a significant improvement in fit relative to the log-likelihood computed …

Persistent link: https://www.econbiz.de/10013119436

The choice of a foreign price measure in a Bayesian estimated new-Keynesian model for Israel

Argov, Eyal - In: Economic modelling 29 (2012) 2, pp. 408-420

Persistent link: https://www.econbiz.de/10009536805