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英文文献：Estimating Interest Rate Setting Behavior in Korea: A Constrained Ordered Choices Model Approach-韩国利率设定行为的估计:一种约束有序选择模型方法
英文文献作者：Hyeongwoo Kim,Wen Shi,Kwang-Myoung Hwang
英文文献摘要：
We study the Bank of Korea’s interest rate setting behavior using an array of constrained ordered choices models, where the Monetary Policy Committee revises the target policy interest rate only when the current market interest rate deviates from the optimal rate by more than certain threshold values. Our models explain changes in the monetary policy stance well for the monthly frequency Korean data since January 2000. We find important roles for the output gap and the foreign exchange rate in understanding the Bank of Korea’s rate decision-making process. We also implement out-of-sample forecast exercises with September 2008 (Lehman Brothers Bankruptcy) for a split point. We demonstrate that out-of-sample predictability improves greatly for the rate cut and the rate hike decisions using standard error adjusted inaction bands.
我们使用一系列约束有序选择模型来研究韩国银行的利率设定行为，其中货币政策委员会只有在当前市场利率偏离最优利率超过一定阈值时才修正目标政策利率。我们的模型很好地解释了自2000年1月以来韩国月度频率数据的货币政策立场变化。我们发现产出缺口和汇率在理解韩国央行的利率决策过程中扮演着重要的角色。我们还对2008年9月(雷曼兄弟破产)的一个分裂点执行样本外预测练习。我们证明了样本外可预测性大大提高了降息和加息决策使用标准误差调整不作为带。
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