| Autor: |
prof. Roman Horváth Ph.D.,
|
| Typ: |
IES Working Papers |
| Rok: |
2007 |
| Číslo: |
1 |
| ISSN / ISBN: |
|
| Publikováno v: |
IES WP |
| Místo vydání: |
Praha |
| Klíčová slova: |
policy neutral rate, Taylor rule, time-varying parameter model with endogenous regressors. |
| JEL kódy: |
E43, E52, E58 |
| Citace: |
Horváth, R. (2007). “ Estimating Time-Varying Policy Neutral Rate in Real Time. ” IES Working Paper 1/2007. IES FSV. Charles University. |
| Granty: |
Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
|
| Abstrakt: |
This paper examines policy neutral rate in real time for the Czech Republic in 2001:1-2006:09 estimating various specifications of simple Taylor-type monetary policy rules. First, we estimate it using GMM. Second, we apply a structural time-varying parameter model with endogenous regressors to evaluate the fluctuations of policy neutral rate over time. The results suggest that there is substantial interest rate smoothing and central bank primarily responds to inflation (forecast) developments. The estimated parameters seem to sustain the equilibrium determinacy. We find that the policy neutral rate gradually decreased over sample period to the levels comparable to those of in the euro area reflecting capital accumulation, smaller risk premium, equilibrium exchange rate appreciation as well as successful disinflation in the Czech economy. |
| Ke stažení: |
WP 2007_1 Horvath
|
