A empirical study of short-term interest rate around its lower bound

基于Clarida等人提出的一个流行的政策反应函数，我们对短期利率的动态变化进行了实证研究。(1998年)。我们想要模拟名义短期利率的长期序列，其中包括围绕其下限的低利率时期。因此，我们将这一基本模型发展为Tobit模型，以表达短期利率在较高或较低水平上的动态变化。我们还准备了四个可选的一致性估计，三个GMME和一个MLE来估计这个Tobit模型。使用日元短期利率的一个已实现的长期序列，其中包含了围绕其下限的足够多的观察，我们按每个估计量估计我们的Tobit模型。我们发现GMME和MLE在残差上存在相反的偏向。一些额外的分析表明，这些偏差可能不是由于下界的存在而引起的。因此，我们怀疑基本模型，并检验其中的一个假设，即央行将使利率平滑。众所周知，很难对其进行实证检验。但现在我们有了一种新的方法来测试它，那就是利用利率下限。事实上，利率平滑假设被使用日本数据进行的这一检验强烈驳斥。

We investigate the dynamics of short-term interest rate empirically based on a popular policy reaction function proposed by Clarida et al. (1998). We want to simulate long-term series of nominal short-term interest rate which includes periods of low interest rate around its lower bound. So we develop this base model to a Tobit model to express the dynamics of short-term rate at either higher or lower level. Also we prepare four alternative consistent estimators, three GMMEs and a MLE, to estimate this Tobit model. Using a realized long-term series of short-term interest rate of Japanese Yen which includes enough observations around its lower bound, we estimate our Tobit model by each estimator. And we find the opposite biases in residuals between GMMEs and MLE. Some additional analyses show that these biases might not be caused by existence of lower bound. So we suspect the base model and test a hypothesis assumed in it that a central bank would make interest rate smoothing. It has been known difficult to test it empirically. But now we have a new way to test it by exploiting the lower bound of interest rate. Indeed the interest rate smoothing hypothesis is rejected strongly by this test using Japanese data.