Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg


Oberseminar Statistik


Dr. Andrei Sirchenko
National Research University - Higher School of Economics Moscow, Russia

spricht am
Donnerstag, 7. Dezember 2017
11:30 Uhr
über das Thema:

»A model for policy interest rates«

We develop a model that addresses the key worldwide features of modern monetary policy making: the discreteness of policy interest rates, the prepondarence of status quo decisions, the interest rate smoothing and regime switching behavior. We capture these phenomena by implementing a dynamic latent-class model of discrete ordered choice with switching among three latent regimes (dovish, neutral and hawkish). The model is estimated via the Gibbs sampler. The simulations and an application to federal funds rate target demonstrate that ignoring interest rate inertia and regime switching leads to biased estimates, worse in- and out-of-sample fit and qualitatively different inference. Using all FOMC decisions (made both at scheduled and unscheduled meetings during the Greenspan's era) as sample observations, we model the Fed response to real-time data available right before each meeting, and control for endogeneity of monetary policy shocks. The model predicts correctly more than four fifth of FOMC decisions, both in- and out-of-sample (during the Bernanke's term).


Hierzu ergeht herzliche Einladung.
Prof. Dr. Gernot Müller

wwwadm@Math.Uni-Augsburg.DE,    Do 7-Dez-2017 10:12:24 MEZ