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Időben változó Taylor-szabály a hazai monetáris politika jellemzésére
[A time-varying parameter Taylor rule for Hungarian monetary policy]

Author

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  • Schepp, Zoltán

    ()

  • Abaligeti, Gallusz

    ()

  • Németh, Kristóf

    ()

Abstract

Tanulmányunkban egy előretekintő, időben változó paraméterű Taylor-szabály becslését végezzük el magyar adatok felhasználásával. Célunk a hazai monetáris politika jellemzése az inflációs célkövetés rendszerének bevezetése óta eltelt időszakban. Kutatási kérdéseink a következők. Melyek voltak a monetáris politikai döntéshozatal szempontjából meghatározó fundamentális tényezők, illetve hogyan változott e tényezők szerepe az elmúlt tizenöt év során? Az időben változó Taylor-együtthatók becsléséhez egy lineáris állapottérmodellt írunk fel, amelyet Kálmán-filterrel becsülünk. Az alkalmazott becslési módszer értékes hozadéka - szemben a különböző részmintás és rezsimváltó regressziókkal -, hogy maguk a becslési eredmények jelölik ki az esetleges strukturális törések helyét, illetve idejét. Ezáltal további külső információk nélkül, előfeltevés-mentesen azonosíthatjuk a hazai monetáris politika preferenciáinak időbeli változását. Eredményeink a hazai monetáris politika céljainak átrendeződését mutatják a válságot követő időszakban, emellett kiemelik a külső mozgástér változásainak meghatározó szerepét. A becslés relevanciáját növeli, hogy a felhasznált adatok szinte teljes egészében a Magyar Nemzeti Bank által publikált, valós idejű kiadványokból származnak.* Journal of Economic Literature (JEL) kód: E43, E52, E58.

Suggested Citation

  • Schepp, Zoltán & Abaligeti, Gallusz & Németh, Kristóf, 2018. "Időben változó Taylor-szabály a hazai monetáris politika jellemzésére [A time-varying parameter Taylor rule for Hungarian monetary policy]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 24-43.
  • Handle: RePEc:ksa:szemle:1744
    DOI: 10.18414/KSZ.2018.1.24
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    References listed on IDEAS

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    Cited by:

    1. Mellár, Tamás & Németh, Kristóf, 2018. "A kibocsátási rés becslése többváltozós állapottérmodellekben. Szuperhiszterézis és további empirikus eredmények [Estimating output gap in multivariate state space models. Super-hysteresis and furt," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 557-591.

    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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