Estimating a GARCH-M Model by a Nonparametric Heruristic Method and Its Advantages

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F14%3A00223422" target="_blank" >RIV/68407700:21340/14:00223422 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Estimating a GARCH-M Model by a Nonparametric Heruristic Method and Its Advantages

Original language description

Today inflation targeting regime is often used to conduct monetary policy in most developed economies. In this regime, a central bank manipulates its key interest rate to steer an economy to the objectives it wants to achieve. To implement its monetary policy, Taylor rule is claimed to be a quantitative tool used as a guide for setting interest rate in response to the state of the economy. Despite its widespread popularity, the Taylor rule is just an orientational guidance at best and cannot be followedstrictly since it would be against the common practice of conducting monetary policy of most central banks. Therefore, we propose a new rule for inflation targeting monetary policy based on fuzzy control technique. This rule seems to be able to quantifythose widely accepted qualitative knowledge on monetary policy. Further, the policy derived by this rule also better captures the common behaviour of central banks. We verify this rule on the monetary policy conducted by the Czech Nation

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

JD - Use of computers, robotics and its application

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Politická ekonomie

ISSN

0032-3233

e-ISSN

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Volume of the periodical

62

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

17

Pages from-to

100-116

UT code for WoS article

000333140500005

EID of the result in the Scopus database

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