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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

Estimating a nonlinear New Keynesian model with the zero lower bound for Japan

Iiboshi, Hirokuni; Shintani, Mototsugu; Ueda, Kozo - In: Journal of money, credit and banking : JMCB 54 (2022) 6, pp. 1637-1671

Persistent link: https://www.econbiz.de/10013466476

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