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英文文献：Estimating Interest Rate Setting Behavior in Korea: An Ordered Probit Model Approach-估计韩国的利率设定行为:一个有序Probit模型方法
英文文献作者：Hyeongwoo Kim
英文文献摘要：
We investigate the Bank of Korea's interest rate setting behavior using a discrete choice model, where the Monetary Policy Committee revises the target policy interest rate only when the gap between the current market interest rate and the optimal rate exceeds a certain threshold value. Using monthly frequency data since 2000, we evaluate an array of ordered probit models in terms of the in-sample fit. We find important roles for the output gap, inflation, and the won depreciation rate against the US dollar. We also implement out-of-sample forecast exercises with September 2008 (Lehman Brothers Bankruptcy) for a split point, finding good out-of-sample predictability of our models.
摘要本文利用离散选择模型研究韩国央行的利率设定行为，其中货币政策委员会仅在当前市场利率与最优利率之间的差距超过一定阈值时才修正目标政策利率。使用自2000年以来的每月频率数据，我们评估了一组有序probit模型的样本内拟合度。我们发现了产出缺口、通货膨胀和韩元对美元的贬值率的重要作用。我们还对2008年9月(雷曼兄弟破产)的一个分割点实施了样本外预测练习，以找到我们模型的良好样本外可预测性。
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