The Japanese Taylor rule estimated using censored quantile regressions
| Autor: | Jau-er Chen, Masanori Kashiwagi |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Statistics and Probability
Economics and Econometrics media_common.quotation_subject 05 social sciences Instrumental variable Estimator Interest rate Taylor rule Quantile regression Mathematics (miscellaneous) Censoring (clinical trials) 0502 economics and business Statistics Economics Econometrics Endogeneity 050207 economics Social Sciences (miscellaneous) 050205 econometrics media_common Quantile |
| Zdroj: | Empirical Economics. 52:357-371 |
| ISSN: | 1435-8921 0377-7332 |
| DOI: | 10.1007/s00181-016-1074-8 |
| Popis: | This paper conducts quantile regressions and obtains detailed estimates of monetary policy rules in Japan using a sample that includes recent periods of zero interest rates. Taking into account censoring and endogeneity, we compute censored quantile instrumental variable estimators and compare them with estimates from uncensored quantile regressions. The estimation results indicate that not accounting for censoring of interest rates tends to result in downwardly biased estimates. Moreover, our censored quantile regressions lead to relatively flat coefficients of inflation and insignificant coefficients of the output gap over the conditional interest rate distribution, suggesting that monetary policy in Japan may be well described by a linear rule. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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