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내생성이 있는 가변계수 모형의 추정과 그 응용들
Reports NRF is supported by Research Projects( 내생성이 있는 가변계수 모형의 추정과 그 응용들 | 2004 Year 신청요강 다운로드 PDF다운로드 | 김창진(고려대학교) ) data is submitted to the NRF Project Results
Researcher who has been awarded a research grant by Humanities and Social Studies Support Program of NRF has to submit an end product within 6 months(* depend on the form of business)
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  • Researchers have entered the information directly to the NRF of Korea research support system
Project Number B00059
Year(selected) 2004 Year
the present condition of Project 종료
State of proposition 재단승인
Completion Date 2007년 04월 30일
Year type 결과보고
Year(final report) 2007년
Research Summary
  • Korean
  • 본 연구에서는 time-varying parameter model에 내생성을 가지는 설명변수가 있을 때, 모형을 추정하는 방법을 처음으로 제시함과 동시에 이 모형 및 추정방법을 거시 경제학에서 중요한 분야인 통화정책의 변화 과정의 연구에 응용하였다. 따라서 본 연구는 두편의 논문으로 구성되어 있다. 첫번 째 논문은 이론 논문으로서, 모형의 추정방법을 처음으로 제시하고 있으며 SSCI 저널인 Economics Letters 에 제개 되었다. 두번 째 논문은 응용 논문으로서, 역시 SSCI 저널인 Journal of Monetary Economics 에 게재 되었으며, 미국의 통화정책 변화 과정을 분석하는데 응용되었다. 본 논문에서는, 미국의 통화정책이 1970년대, 1980년대, 그리고 1990년대 이후의 세 기간으로 크게 달리 구분될 수 있음을 보이고 있으며, 이는 기존 논문에서 밝히지 못한 새로운 결과이다.
  • English
  • This research consists of two papers. In the first paper, published at an SSCI journal, Economics Letters, I introduce a method for dealing with endogenous regressors in a time-varying parameter model. In the second paper, also published at an SSCI journal, Journal of Monetary Economics, I apply the model and the estimation techeque introduced in the first paper to estimate a time-varying parameter model for forward-looking monetary policy rule in the U.S. The empirical results reveal new aspects not found in the literature previously. That is, the history of the Fed's conduct of monetary policy since the early 1970's can in general be divided into three sub periods: the 1970's, the 1980's, and 1990's. The conventional division of the sample into pre-Volcker and Volcker-Greenspan periods could mislead the empirical assessment of monetary policy.

Research result report
  • Abstract
  • 첫번 째 논문 제목: " Time-Varying Parameter Models with Endogenous Regressors", Economics Letters, Vol. 91, 21-26, 에 게재. //


    첫번 째 논문 초록:

    This paper provides a framework for dealing with endogeneity problems in the time-varying parameter models. A Heckman-type (1976) two-step MLE procedure is derived
    for consistent estimation of the hyper-parameters as well as correct inferences on the time-varying coefficients. //


    두번 째 논문 제목:

    "Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model using Ex-Post Data", (with Charles R. Nelson), Journal of Monetary Economics} 53, 1969-1966, 게재
    //

    두번째 논문 초록:

    In this paper, we consider estimation of a time-varying parameter model for a forward-looking monetary policy rule, by employing ex-post data. A Heckman-type (1976) two-step procedure is employed in order to deal with endogeneity in the regressors. This allows us to econometrically take into account changing degrees of uncertainty associated with the Fed's forecasts of future inflation and GDP gap when estimating the model. Even though such uncertainty does not enter the model directly, we achieve efficiency in estimation by employing the standardized prediction errors for inflation and GDP gap as bias correction terms in the second-step regression. We note that no other empirical literature on monetary policy deals with this important issue. Our empirical results also reveal new aspects not found in the literature previously. That is, the history of the Fed's conduct of monetary policy since the early 1970's can in general be divided into three sub periods: the 1970's, the 1980's, and 1990's. The conventional division of the sample into pre-Volcker and Volcker-Greenspan periods could mislead the empirical assessment of monetary policy.

  • Research result and Utilization method
  • 내생성이 존재하는 설명변수하에서의 time-varying parameter에 대한 첫번째 응용으로서, 미국의 금융정책의 변화 과정을 추정해 보았다. 그 결과로서, 기존 논문에서 제대로 다뤄지지 않았더, 1990년대 이후의 금융정책의 변화를 심도 있게 분석할 수 있었다.
  • Index terms
  • Endogeneity, Forward-Looking Monetary Policy, Heteroscedasticity, Nonlinearity, Time-Varying Parameter Model
  • List of digital content of this reports
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