Browse

(The) U.S. monetary policy
연방기금금리 설명 모델간의 비교 연구

Cited 0 time in Web of Science Cited 0 time in Scopus
Authors
윤성혁
Advisor
이영섭
Major
국제대학원 국제학과(국제통상전공)
Issue Date
2016-08
Publisher
서울대학교 국제대학원
Keywords
통화정책테일러 준칙정책 관성프로빗 회귀분석
Description
학위논문 (석사)-- 서울대학교 국제대학원 : 국제학과(국제통상전공), 2016. 8. 이영섭.
Abstract
The target interest rate set by the United States Federal Reserve has been baring significant implications to the every corner of the world. While accurate prediction of the monetary policy has been regarded as of little likelihood, many scholars have dedicated to make the best estimation. The Taylor Rule has been on the center of those studies with its effectiveness in explaining the policy rate movements. Continuous progress has been made on top of the groundbreaking study. The practice of gradual target-rate adjustment together with holding the similar stance to the previous decision is captured in a line of studies. Motivated by the manner of step-wise adjustment to the federal funds rate, a number of researches embraced discrete model approaches. Despite the development made so far, volatilities in financial markets and ambiguities in the tones set by the media before FOMC meetings provide evidences that no models predict it perfectly. This paper intends to compare the estimation models for the U.S. monetary policy. Empirical findings imply that both the linear model enhanced with policy inertia terms and the ordered probit model are equally good in policy description for the period of 1994-2008. However, out-sample fit tests for the period of 2009-2016 cast a doubt upon those models validity.
Language
English
URI
https://hdl.handle.net/10371/129270
Files in This Item:
Appears in Collections:
Graduate School of International Studies (국제대학원)Dept. of International Studies (국제학과)Theses (Master's Degree_국제학과)
  • mendeley

Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

Browse