| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6474 |
| DP6474 Sparse and Stable Markowitz Portfolios | |
| Domenico Giannone; Christine De Mol; Ingrid Daubechies; Joshua Brodie | |
| 发表日期 | 2007-09-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Objectives and Methodology: This paper explores theoretically and empirically the view that, due to asymmetric central bank preferences, Taylor rules are often non-linear and that the nature of those asymmetries changes over different policy regimes. Our theoretical model uses a standard New-Keynesian framework to establish equivalence relations between the shape of non-linearities in Taylor rules and asymmetries in monetary policy objectives. We then estimate and test these relations for the UK and the US over various subperiods by means of smooth transition regressions. Results: There is often evidence in favor of non-linear rules in both countries, and their character changes substantially over subperiods. The pre inflation targeting period in the UK is characterized by a concave rule supporting recession avoidance preferences, while the inflation targeting period is characterized by a convex rule supporting inflation avoidance preferences on the part of monetary policymakers. The inflationary Vietnam war era in the US displays a convex rule supporting inflation avoidance while the stable Greenspan period is characterized by a concave rule supporting recession avoidance on the part of the Fed. Our findings from both countries support the view that reaction functions and the symmetry properties of the underlying loss functions change in line with the main macro problem of the day. |
| 主题 | Central Banking |
| 关键词 | Asymmetric objectives Central banks Inflation avoidance Non linearities Recession avoidance Taylor rules Uk Us |
| URL | https://cepr.org/publications/dp6474 |
| 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/535288 |
| 推荐引用方式 GB/T 7714 | Domenico Giannone,Christine De Mol,Ingrid Daubechies,et al. DP6474 Sparse and Stable Markowitz Portfolios. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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