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The Japanese Taylor rule estimated using censored quantile regressions

Author(s)
Chen, Jau-er; Kashiwagi, Masanori
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Abstract
This paper conducts quantile regressions and obtains detailed estimates of monetary policy rules in Japan using a sample that includes recent periods of zero interest rates. Taking into account censoring and endogeneity, we compute censored quantile instrumental variable estimators and compare them with estimates from uncensored quantile regressions. The estimation results indicate that not accounting for censoring of interest rates tends to result in downwardly biased estimates. Moreover, our censored quantile regressions lead to relatively flat coefficients of inflation and insignificant coefficients of the output gap over the conditional interest rate distribution, suggesting that monetary policy in Japan may be well described by a linear rule.
Date issued
2016-03
URI
http://hdl.handle.net/1721.1/104971
Department
Massachusetts Institute of Technology. Department of Economics
Journal
Empirical Economics
Publisher
Springer Berlin Heidelberg
Citation
Chen, Jau-er, and Masanori Kashiwagi. “The Japanese Taylor Rule Estimated Using Censored Quantile Regressions.” Empirical Economics (2016): n. pag.
Version: Author's final manuscript
ISSN
0377-7332
1435-8921

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