Advanced Search
MyIDEAS: Login to save this article or follow this journal

Estimation of alternative monetary policy rules and their comparison

Contents:

Author Info

  • Hana Pytelová
  • Osvald Vašíček
Registered author(s):

    Abstract

    The article shows the optimal monetary policy problem in three different cases. The first is optimization "under discretion". This means that a central bank can reoptimize its behaviour each period and is not history dependent. The second approach is optimization "under commitment" which means that a central bank makes a binding commitment and can't change its behaviour as a reaction to shocks. The last case is a simple Taylor rule which is not a result of optimization process, but demonstrates real behaviour of many central banks. The policy design problem is to characterize how the central bank should adjust the interest rate to the current state of the economy. The article shows the theoretical procedure of finding the optimal monetary policy. Further, it examines and illustrates the behaviour of the presented models on the Czech economy data. Model parameters are estimated simultaneously by the "Iterative Extended Kalman Filter Smoother". Impulse responses are tested. Fundamental differences of the three cases are explained and presented graphically. Results are economically interpreted.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/132
    Download Restriction: no

    Bibliographic Info

    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 11 (2004)
    Issue (Month): 20 ()
    Pages:

    as in new window
    Handle: RePEc:czx:journl:v:11:y:2004:i:20:id:132

    Contact details of provider:
    Email:
    Web page: http://ces.utia.cas.cz
    More information through EDIRC

    Related research

    Keywords: monetary policy; forward-looking model; discretion; commitment; Taylor rule; Iterative Extended Kalman Filter Smoother; impulse responses;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:czx:journl:v:11:y:2004:i:20:id:132. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.