| Popis: |
This dissertation thesis is focused on the empirical analysis of monetary and fiscal policy using nonlinear models. In the first part, I examine the evolution of monetary policy rules in a group of inflation targeting countries. I apply a moment-based estimator in a time-varying parameter model with endogenous regressors. The main findings are twofold. First, with adoption of inflation targeting, coefficients in the monetary policy rules changed rather gradually. Second, the response of interest rates to inflation is particularly strong during periods when central bankers want to break a record of high inflation. Contrary to common view, the response of interest rates to inflation becomes less aggressive after the adoption of inflation targeting, suggesting a positive anchoring effect of this regime on inflation expectations. The second part discusses whether and how the selected central banks responded to episodes of financial stress over the last three decades. The time-varying monetary policy rule is extended for an indicator of financial stress, in order to show the departures of policy rules under financial instability. The findings suggest that central banks often decrease policy rates in the face of high financial stress. However, the size of the policy response varies substantially over time as well... |
