چکیده:
Estimates of instrumental rules can be utilized to describe central bank's behavior and monetary policy stance. In the last decade, considerable attention has been given to time-varying parameter (TVP) specification of monetary policy rules. Constant-parameter reaction functions likely ignore the impact of model uncertainty, shifting preferences and nonlinearities of policymaker's choices. This paper examines the evolution of monetary policy reaction function in Iran via estimating a time-varying parameter (TVP) specification in the 1990:2-2014:4 period. We try to find out whether there is a significant time variation in coefficient of CBI (the Central Bank of Iran) reaction function. The main findings are threefold. First, monetary policy rules changed over time, hence making relevant the application of a time-varying estimation framework. Second, the monetary instrument smoothing parameter is much lower than typically reported by previous time-invariant estimates of policy rules. Third, CBI does not systematically follow instrumental rule to fight inflation. During the whole sample, there is no quarter in which the inflation gap coefficient is negative and significant; therefore, monetary policy has not counteracted inflationary pressures.
خلاصه ماشینی:
"Time varying parameter monetary policy rules have been modeled by different estimation methods such as subsample analysis, smooth transition regression (STR), Markov switching and the Kalman filter.
Summary of Literature on TVP Monetary Policy Rules Existence of time variation Type of instrument rule Studies Countries Methods A backward-looking Taylor rule Judd and Rudebusch (1998) US Subsample E i i × A forward-looking Taylor rule Orphanides (2004) US stmaton A forward-looking Taylor rule Martin and Milas (2004) UK Smooth Transition A backward-looking Taylor rule Petersen (2007) US Regression (STR) A backward-looking Taylor rule Gerlach and Lewis (2010) ECB A backward-looking Taylor rule Wesche (2006) US,UK, Germany Markov Switching A forward-looking Taylor rule Murray, Nikolsko-Rzhevskyy and Papell (2014) US A forward-looking Taylor rule Boivin (2005) US A forward-looking Taylor rule Trecroci and Vassalli (2010) US, UK, Germany, France and Italy Kalman Filter A forward-looking Taylor rule Baxa, Horvath and vasicek (2013) Australia, Canada, New Zealand, Sweden, and the United Kingdom Augmented Taylor rule (exchange rate gap) Hatipo(g2lu00a9n)d Alper Turkey EKxatlemnadned Filter In order to take into account the potential changes in the conduct of monetary policy, one approach is to divide the sample to some subsamples so that in each subsample the policymaker’s preferences are different.
To estimate time-varying parameters and unobserved variables such as the exchange rate target and potential output simultaneously, they employ an extended Kalman filter (EKF), which allows them to trace any changes in central bank behavior, including regime shifts."