A model for policy interest rates

DOI10.1016/j.jedc.2020.104049zbMath1475.91380OpenAlexW2907534918MaRDI QIDQ2246701

Andrei Sirchenko, Armin Seibert, Gernot J. Müller

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.104049

zbMATH Keywords

Gibbs samplerdata augmentationMCMCreal-time dataendogenous regime switchingautoregressive ordered probitdiscrete ordered choicefederal funds rate targetFOMC

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A zero-inflated ordered probit model, with an application to modelling tobacco consumption
• Monetary policy regimes and the term structure of interest rates
• A new marked point process model for the federal funds rate target: methodology and forecast evaluation
• A model for ordinal responses with heterogeneous status quo outcomes
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
• Predicting the Direction of the Fed's Target Rate
• Time‐Varying Transition Probabilities for Markov Regime Switching Models

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