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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

JD - Využití počítačů, robotika a její aplikace

OECD FORD obor

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Projekt

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Návaznosti

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

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Politická ekonomie

ISSN

0032-3233

e-ISSN

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Svazek periodika

62

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

100-116

Kód UT WoS článku

000333140500005

EID výsledku v databázi Scopus

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