Exchange rates, monetary policy regimes, and beliefs
Exchange rates, monetary policy regimes, and beliefs
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汇率、货币政策制度和信念
DOI：
10.2139/ssrn.170552
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发表时间：
1999
影响因子：
1.2
通讯作者：
Jeffrey M. Wrase
中科院分区：
文献类型：
--
作者：
Keith Sill;Jeffrey M. Wrase
作者研究了一个国际货币商业周期模型，在该模型中，代理人面临着包含政权转变的货币政策过程。在任何给定时期，代理人无法直接观察政策制度，而是形成通过贝叶斯学习更新的信念。因此，预期调整表现出惯性，增加了货币冲击影响的持久性。美国和经合组织国家总体的货币政策流程是使用汉密尔顿的马尔可夫转换模型进行估计的。然后，作者求解并校准模型的一个版本，并检查其定量特性。
The authors investigate an international monetary business-cycle model in which agents face monetary policy processes that incorporate regime shifts. In any given period agents cannot directly observe the policy regime, but instead form beliefs that are updated via Bayesian learning. As a result, expectation adjustment displays inertia that adds persistence to the effects of monetary shocks. Monetary policy process for the U.S. and an aggregate of OECD countries are estimated using Hamilton's Markov-switching model. The authors then solve and calibrate a version of the model and examine its quantitative properties.