Duration Analysis of Interest Rate Spells : Cross-National Study of Interest Rate Policy

• Guo Yingwen

  City University of Hong Kong

• Zhou Z.F. Sherry

  City University of Hong Kong

抄録

A duration analysis is adopted in this study to investigate the determinants of the "interest rate spells" across ten countries (or area) . Both parametric and nonparametric methods are employed for the analysis. It is found that the length of "interest rate spells" is affected by both the rate of inflation and the rate of economic growth. In contrast, the influence of exchange and unemployment rates proved to be insignificant and the lagged interest rate is significant only for Denmark. The empirical results support the contention that central banks usually design their interest rate policies based on the Taylor Rule.

収録刊行物

• Hitotsubashi Journal of Economics

  Hitotsubashi Journal of Economics 52 (1), 1-11, 2011-06

  Hitotsubashi University

キーワード

• Duration Analysis
• Taylor Rule
• Parametric Models
• Nonparametric Models

詳細情報

• CRID: 1390009224866001024
• NII論文ID: 110008581515
• NII書誌ID: AA00207547
• DOI: 10.15057/19214
• HANDLE: 10086/19214
• ISSN: 0018280x
• 本文言語コード: en
• データソース種別:
  • JaLC
  • IRDB
  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可