Thresholds and the Expected Timing of Discrete Policy Changes

是什么决定了私营部门对可能出现的 政府政策不连续变化的时机？ 比如说， 中央银行通常可以控制政策工具， 作为名义汇率或关键利率， 突然地调整了一下 标记参与者似乎形成 关于这些调整何时发生的预期（以及 他们将有多大），这些期望影响他们的 行为 进口付款可能会加快， 因预期贬值而推迟。 同样地， 利率的预期变化可能会影响 购房或其他投资决策。 一个直观的 市场参与者如何制定他们的 预期是一个“门槛”模型，其中政策变化是 当一些基本指标交叉时， 临界阈值 这项研究的贡献来自于 (1)推导出一个阈值模型来解释实际和预期的 离散政策变化的时机;（2）制定方法 根据经验估计和测试阈值模型;以及 (3)利用阈值模型研究了一些类型的 离散的政策变化。 在某些假设下，描述 政策变化的预期时机将来自于一个逆 高斯分布 阈值模型的公式化 将用于研究政策变化的实际时间， 好. 调查员以前就联合国系统内的重新调整所做的工作 欧洲货币体系将进一步扩大。 未来的研究将 包括对预期的理论和实证分析 关于美国关键利率变化的时机。

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.