Discrete Shadow Rate: Endogenous Response to the Macroeconomic Conditions

摘要：

　　This study examines the endogenous reactions of the shadow rate to the macroeconomic conditions.First, using a linear framework, the results suggest that under strong assumptions, the shadow rate is sensitive to change in output,inflation and stock price.Yet, using Bayesian vector autoregressive (BVAR) models, our empirical results show that the shadow rate appears to react slightly to fluctuations in macroeconomic variables.However, the responses vanish when the sample account only for the period after the financial crisis.This shed light on the need for identifying the exogenous variation while using the shadow rate as a measure of unconventional monetary policy (UMP).

关键词： zero lower bound shadow federal funds rate Bayesian vector autoregressive

作者: Togba Boboy Yves Seong-Min Yoon

作者单位: Department of Economics, Pusan National University, Busan 46241, Republic of Korea

会议类型: 国际会议

会议名称: The 12th International Conference on the Regional Innovation and Cooperation in Asia ( 第12届区域合作与创新国际学术研讨会)

会议地点: 广州

会议语种:英文

页码: 214-233

在线出版日期: 2017-11-23（万方平台首次上网日期，不代表论文的发表时间）