小型开放经济体中的参数不稳定性和货币政策:来自英国估计模型的证据

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE International Review of Economics & Finance Pub Date : 2024-09-20 DOI:10.1016/j.iref.2024.103625
Rene Zamarripa
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引用次数: 0

摘要

本文通过研究动态随机一般均衡模型中可能存在的参数不稳定性,重新探讨了小型开放经济体的货币政策是否会对汇率做出反应。本文的主要重点是重新审视之前有关英格兰银行对汇率变动的反应的证据,并确定其反应函数是否在整个样本期间保持不变。为此,我使用贝叶斯计量经济学技术对一个小型开放经济一般均衡模型进行了滚动窗口估计。我发现大量证据表明几个参数发生了变化,包括与政策规则相关的参数。此外,后验概率检验还揭示了货币当局对汇率波动的时变反应。在最初的子样本中,结果有利于将名义汇率嵌入政策规则的模型。然而,证据在各个窗口中不断变化,最终倾向于无汇率的模型规格。本文还通过滚动窗口脉冲响应函数和方差分解分析,从参数的不稳定性中记录了模型动态的明显变化。
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Parameter instabilities and monetary policy in a small open economy: Evidence from an estimated model for the UK

This paper reconsiders whether monetary policy in small open economies responds to exchange rates by studying possible parameter instabilities in a Dynamic Stochastic General Equilibrium model. The main focus of the paper is to revisit preceding evidence on the response to exchange rate movements by the Bank of England and determine if its reaction function has remained constant throughout the sample. To this end, I estimate a small open economy general equilibrium model using Bayesian econometric techniques over rolling windows. I find overwhelming evidence of shifts in several parameters, including those related to the policy rule. Furthermore, posterior odds tests reveal a time-varying response to exchange-rate fluctuations by the monetary authorities. The results favor the model with the nominal exchange rate embedded in the policy rule for the initial subsamples. However, the evidence steadily evolves across windows and ultimately changes to prefer the model specification with no exchange rate. The paper also documents evident variations in the model dynamics derived from the instability of parameters via rolling-window impulse response functions and variance decomposition analysis.

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来源期刊
CiteScore
7.30
自引率
2.20%
发文量
253
期刊介绍: The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.
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