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Estimating the discount rate policy reaction function of the monetary authority

✍ Scribed by Woon Gyu Choi

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 245 KB
Volume: 14
Category: Article
ISSN: 0883-7252
DOI: 10.1002/(sici)1099-1255(199907/08)14:4<379::aid-jae516>3.0.co;2-2

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✦ Synopsis

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 suggest that the Fed has conducted discount rate policy counter-cyclically to in¯uence output and to curb in¯ation, and that the Fed's response to policy indicators varies over monetary regimes. Furthermore, consistency is found between the model prediction of the discount rate change and a classi®cation based on whether the change is technical or non-technical.

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