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- Title
The Japanese Taylor rule estimated using censored quantile regressions.
- Authors
Chen, Jau-er; Kashiwagi, Masanori
- Abstract
The article discusses a study that assessed the monetary policy of Japan as to the Taylor rule. Topics include quantile regression analysis of data on policy rules as to zero lower bound (ZLB) nominal interest rate, computation of censored quantile instrumental variable (CQIV) and application of the instrumental variable quantile regression (IVQR). Results showed downward bias in the estimates by using uncensored quantile regression while inflation coefficent estimates are flat with the CQIV.
- Subjects
JAPAN; QUANTILE regression; MONETARY policy; TAYLOR'S rule; MATHEMATICAL models of monetary policy; INTEREST rates; PRICE inflation
- Publication
Empirical Economics, 2017, Vol 52, Issue 1, p357
- ISSN
0377-7332
- Publication type
Article
- DOI
10.1007/s00181-016-1074-8