Thresholds and the Expected Timing of Discrete Policy Changes

是什么决定了私营部门对政府政策可能出现离散变化的时机的预期？例如，中央银行通常控制着政策工具--如名义汇率或关键利率--这些工具可以离散而突然地进行调整。马克参与者似乎对这些调整将在何时发生(以及调整幅度有多大)形成了预期，这些预期会影响他们的行为。由于人民币贬值的预期，进口支付可能会加快，出口可能会推迟。同样，利率的预期变化可能会影响购房或其他投资决定的时机。市场参与者可能如何制定其预期的一个直观吸引人的模型是“门槛”模型，在该模型中，当某个基础指标(S)超过关键门槛时，预计政策将发生变化。本研究的贡献来自：(1)推导了一个阈值模型来解释离散政策变化的实际和预期时间；(2)发展了一种对阈值模型进行实证估计和检验的方法；(3)利用阈值模型来研究一些类型的离散政策变化。在某些假设下，描述政策变化预期时间的概率函数将来自逆高斯分布。门槛模型的这一提法也将用于研究政策变化的实际时间。这位调查员之前关于欧洲货币体系重新调整的工作将得到延长。未来的研究将包括对美国关键利率变化时机的预期进行理论和实证分析。

What determines private sector expectations about the likely timing of discrete changes in government policy? For example, Central Banks often have control over policy instruments -- such as a nominal exchange rate or a key interest rate -- that can be adjusted discrete and suddenly. Mark participants appear to form expectations about when these adjustments will occur (and about how large they will be) and these expectations influence their behavior. Import payments may be accelerated and exports postponed in anticipation of a devaluation. Similarly, anticipated changes in interest rates may affect the timing of housing purchases or other investment decisions. One intuitively appealing model of how market participants might formulate their expectations is a "Threshold" model in which policy changes are expected to occur when some underlying indicator(s) cross a critical threshold. The contribution of this research comes from (1) deriving a Threshold model to explain the actual and expected timing of discrete policy changes; (2) developing a methodology for empirically estimating and testing the Threshold model; and (3) suing the Threshold model to study a number of types of discrete policy changes. Under certain assumptions the probability functions describing the expected timing of policy changes will come from an Inverse Gaussian distribution. This formulation of the Threshold model will be used to study the actual timing of policy changes as well. Previous work by the investigator on realignments in the European Monetary System will be extended. Future research will include a theoretical and empirical analysis of the expectations about the timing of changes in key U.S. interest rates.