The Resource A discrete-choice econometrician's tale of monetary policy identification and predictability, Andrei, Sirchenko

A discrete-choice econometrician's tale of monetary policy identification and predictability, Andrei, Sirchenko

Label
A discrete-choice econometrician's tale of monetary policy identification and predictability
Title
A discrete-choice econometrician's tale of monetary policy identification and predictability
Statement of responsibility
Andrei, Sirchenko
Creator
Contributor
Subject
Language
eng
Summary
This thesis studies the econometric identification and predictability of monetary policy. It addresses the discrete and collective nature of policy decisions, and the use of the real-time versus currently available revised data. The first chapter combines the ordered probit model, novel real-time data set and policy-making meetings as a unit of observation to estimate highly systematic reaction patterns between policy rate decisions and incoming economic data. The paper measures the empirical significance of the rate discreteness and demonstrates that both the discrete-choice approach and real-time policy-meeting data do matter in the econometric identification of monetary policy. The estimated rules surpass the market anticipation made one day prior to a policy meeting, both in and out of sample. The second chapter provides empirical evidence that a prompter release of policy- makers' votes could improve the predictability of policy decisions. The voting patterns reveal strong and robust predictive content even after controlling for policy bias and responses to inflation, real activity, exchange rates and financial market indicators. They contain information not embedded in the spreads and moves in the market interest rates, nor in the explicit forecasts of the next policy decision made by market analysts. Moreover, the direction of policymakers' dissent explains the direction of analysts' forecast bias. The third chapter develops a two-stage model for ordinal outcomes (such as discrete changes to the policy interest rates) that are characterized by abundant observations, potentially generated by different processes, in the middle neutral category (no change to the rate). In the context of policy rate setting, the first stage, a policy inclination decision, determines policy stance (loose, neutral or tight) as a reaction to economic conditions, whereas two amount decisions at the second stage are driven mostly by the institutional features. There are three types of zeros: neutral zeros, generated directly by the neutral policy stance, and two kinds of offset zeros, loose and tight zeros, generated by the loose or tight stance, offset at the second stage. The model is applied to the individual policymakers' votes for the interest rate. Both the empirical applications and simulations demonstrate superiority with respect to the conventional models
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Sirchenko, Andrei
Date time place
Defence date: 12 November 2012
Dissertation note
Thesis (Ph. D.)--European University Institute (ECO), 2012.
Index
no index present
Literary form
non fiction
Nature of contents
theses
http://library.link/vocab/relatedWorkOrContributorName
European University Institute
Series statement
  • EUI PhD theses
  • EUI theses
http://library.link/vocab/subjectName
  • Monetary policy
  • Monetary policy
Label
A discrete-choice econometrician's tale of monetary policy identification and predictability, Andrei, Sirchenko
Link
http://hdl.handle.net/1814/24594
Instantiates
Publication
Note
Examining Board: Professor Helmut Lütkepohl, DIW Berlin and Freie Universität Berlin (External Supervisor); Professor Peter Hansen, European University Institute; Professor Michael Beenstock, Hebrew University of Jerusalem; Professor James D. Hamilton, University of California; Professor Matthew Neidell, Columbia University
Bibliography note
Includes bibliographical references (pages 157-158)
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb1718339x
Dimensions
30 cm.
Extent
viii, 177 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)851517398
Label
A discrete-choice econometrician's tale of monetary policy identification and predictability, Andrei, Sirchenko
Link
http://hdl.handle.net/1814/24594
Publication
Note
Examining Board: Professor Helmut Lütkepohl, DIW Berlin and Freie Universität Berlin (External Supervisor); Professor Peter Hansen, European University Institute; Professor Michael Beenstock, Hebrew University of Jerusalem; Professor James D. Hamilton, University of California; Professor Matthew Neidell, Columbia University
Bibliography note
Includes bibliographical references (pages 157-158)
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb1718339x
Dimensions
30 cm.
Extent
viii, 177 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)851517398

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