The Japanese Taylor rule estimated using censored quantile regressions
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...
| Váldodahkkit: | , |
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| Eará dahkkit: | |
| Materiálatiipa: | Artihkal |
| Giella: | English |
| Almmustuhtton: |
Springer Berlin Heidelberg
2016
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| Liŋkkat: | http://hdl.handle.net/1721.1/104971 |
| _version_ | 1826199363552018432 |
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| author | Chen, Jau-er Kashiwagi, Masanori |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Chen, Jau-er Kashiwagi, Masanori |
| author_sort | Chen, Jau-er |
| collection | MIT |
| description | 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. |
| first_indexed | 2024-09-23T11:18:42Z |
| format | Article |
| id | mit-1721.1/104971 |
| institution | Massachusetts Institute of Technology |
| language | English |
| last_indexed | 2024-09-23T11:18:42Z |
| publishDate | 2016 |
| publisher | Springer Berlin Heidelberg |
| record_format | dspace |
| spelling | mit-1721.1/1049712022-10-01T02:45:33Z The Japanese Taylor rule estimated using censored quantile regressions Chen, Jau-er Kashiwagi, Masanori Massachusetts Institute of Technology. Department of Economics Chen, Jau-er 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. 2016-10-25T16:23:41Z 2017-03-01T16:14:47Z 2016-03 2014-03 2016-08-18T15:23:37Z Article http://purl.org/eprint/type/JournalArticle 0377-7332 1435-8921 http://hdl.handle.net/1721.1/104971 Chen, Jau-er, and Masanori Kashiwagi. “The Japanese Taylor Rule Estimated Using Censored Quantile Regressions.” Empirical Economics (2016): n. pag. en http://dx.doi.org/10.1007/s00181-016-1074-8 Empirical Economics Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use. Springer-Verlag Berlin Heidelberg application/pdf Springer Berlin Heidelberg Springer Berlin Heidelberg |
| spellingShingle | Chen, Jau-er Kashiwagi, Masanori The Japanese Taylor rule estimated using censored quantile regressions |
| title | The Japanese Taylor rule estimated using censored quantile regressions |
| title_full | The Japanese Taylor rule estimated using censored quantile regressions |
| title_fullStr | The Japanese Taylor rule estimated using censored quantile regressions |
| title_full_unstemmed | The Japanese Taylor rule estimated using censored quantile regressions |
| title_short | The Japanese Taylor rule estimated using censored quantile regressions |
| title_sort | japanese taylor rule estimated using censored quantile regressions |
| url | http://hdl.handle.net/1721.1/104971 |
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