| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2509 |
| DP2509 The Generalized Dynamic Factor Model: Representation Theory | |
| Marco Lippi; Mario Forni | |
| 发表日期 | 2000-07-25 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | This paper argues that exchange rate tensions delay future changes in the Fed's policy instrument, the federal funds rate. A shift in emphasis towards the exchange rate may conflict with the longer-term policy goals for the domestic economy. The Paper's objective is to consider empirically the influence of exchange rate tensions (proxied by official interventions) on the duration of the target funds rate. Time deformation of the target funds rate is modelled as an autoregressive process following the class of ACD models first proposed by Engle and Russell (1998). The duration of the target funds rate is found to be weakly persistent: a result consistent with several studies in the empirical literature. The introduction of interventions into the ACD model finds that previous interventions lengthen the duration of the target funds rate. This result is found to be robust for several intervention measures. |
| 主题 | International Macroeconomics |
| 关键词 | Duration Federal funds rate Interest rate smoothing |
| URL | https://cepr.org/publications/dp2509 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531584 |
| 推荐引用方式 GB/T 7714 | Marco Lippi,Mario Forni. DP2509 The Generalized Dynamic Factor Model: Representation Theory. 2000. |
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