Monetary policy rules;
Policy gradualism;
Generalized method of moments;
Weak identification;
INSTRUMENTAL VARIABLES;
WEAK IDENTIFICATION;
GENERALIZED-METHOD;
TAYLOR RULES;
SPECIFICATION;
MOMENTS;
D O I:
10.1016/j.jmoneco.2009.06.007
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
Empirical estimates of monetary policy reaction functions feature a very high estimated degree of monetary policy inertia. This evidence is very hard of reconcile with the alternative evidence of low predictability of monetary policy rates. In this paper we examine the potential relevance of the problem of weak instruments to correctly identify the degree of monetary policy inertia in forward-looking monetary policy reaction function of the type originally proposed by Taylor [1993. Discretion versus policy rules in practice. Canergie-Rochester Conference Series on Public Policy, 39, 195-214]. After appropriately diagnosing and taking care of the weak instruments problem, we find an estimated degree of policy inertia which is significantly lower than the common Value in the empirical literature on monetary policy rules. (C) 2009 Elsevier B.V. All rights reserved.