EconPapers    
Economics at your fingertips  
 

Modeling monetary policy in real time:Does discreteness matter?

Andrei Sirchenko ()

EERC Working Paper Series from EERC Research Network, Russia and CIS

Abstract: This paper applies an empirical framework, combining the use of ordered probit approach, novel real-time data set and decision-making meetings of monetary authority as a unit of observation, to estimate highly systematic reaction patterns between policy rate decisions of the National Bank of Poland and incoming economic data for the period 1999-2007. The paper measures the empirical significance of rate discreteness and demonstrates that both the discrete-choice approach and real-time "policy-meeting" data do matter in the econometric identification of Polish monetary policy. The study detects structural breaks in policy, which switched its focus from current to expected inflation and from exchange rate to real activity.The response to inflationary expectation is shown to be highly asymmetrical depending on whether the expectation is above or below the inflation target.The policy rate appears to be driven by key economic indicators without evidence for intentional interest-rate smoothing by central bank.The estimated rules explain correctly 95 percent of observed policy actions and surpass the market anticipation, made one day piror to policy meeting, both in and out of sample.

JEL-codes: C25 C53 E52 (search for similar items in EconPapers)
Date: 2008-11-06
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://eercnetwork.com/default/download/creater/w ... 137cb84c1eb7f3bf.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to eercnetwork.com:443 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eer:wpalle:08/07e

Ordering information: This working paper can be ordered from
EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine
https://eercnetwork.com/paper

Access Statistics for this paper

More papers in EERC Working Paper Series from EERC Research Network, Russia and CIS EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine.
Bibliographic data for series maintained by Anton Pashchenko ().

 
Page updated 2021-10-15
Handle: RePEc:eer:wpalle:08/07e