Policy rate decisions and unbiased parameter estimation in typical monetary policy rules

Arbeitspapier

Policymakers do not always follow a simple rule for setting policy rates for various reasons and thus their choices are co-driven by a decision to follow a rule or not. Consequently, some observations are censored and cause bias in conventional estimators of typical Taylor rules. To account for the censored and discrete process of policy rate setting, I devise a new method for monetary policy rule estimation and demonstrate its ability to outperform the existing conventional estimators using two examples.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 771

Classification and Topics

• Classification: Wirtschaft
• Subject: Bias in parameters ; monetary policy ; policy rule ; Geldpolitik ; Taylor-Regel ; Regelbindung versus Diskretion ; Theorie ; Tschechien ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Podpiera, Jirí
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/153205