【主讲】Jau-er Chen (台湾大学)
【主题】The Japanese Taylor Rule Estimated Using Quantile Regressions
【时间】2014年11月3日 (周一) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】This paper conducts quantile regressions to estimate the Japanese Taylor rule using a sample that includes recent observations pertaining to Japan's zero interest rate policy. To address censoring and endogeneity, we compute censored quantile instrumental variable estimators. Our estimates indicate that the inflation coeffcient tends to decrease moving toward the right tail of the conditional distribution for lower quantiles. This pattern is reversed in uncensored quantile regressions and in the estimation results of the literature using Japanese data prior to the zero interest rate policy, indicating the importance of the information provided by the recent Japanese data and the consideration of censoring.
