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Estimating monetary reaction functions at near zero interest rates

✍ Scribed by Tae-Hwan Kim; Paul Mizen

Book ID: 116422402
Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 246 KB
Volume: 106
Category: Article
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2009.09.025

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This paper estimates a policy rule that explains the sign and the magnitude of the Federal Reserve's (Fed's) discount rate changes. It sets out a two-sided Type II Tobit model and develops a procedure for its estimation, considering the discrete and censored nature of the changes. The results sugges