The Japanese Taylor Rule Estimated Using Quantile Regressions
2015/06/30
研討會日期 : 2015-06-30
時間 : 14:30
主講人 : Professor Masanori Kashiwagi
主持人 : Professor Pei-Ju Liao
地點 : Conference Room B110
演講者簡介 : Professor Kashiwagi received his Ph.D. in Economics from University of California, Los Angeles (UCLA) at 2010. He is currently an Assistant Professor at National Taiwan University. His research fields are Macroeconomics and International Macroeconomics.
演講摘要 : 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.
