Bayesian Analysis on Regime Shifts in Korea’s Monetary Policy

• 발행기관: 한국자료분석학회
• 저자명: Byoung Hark Yoo
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.16 No.3, 1195~1206쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2014.06.30

영문 초록

This paper suggests a Bayesian method to estimate a Markov switching DSGE (dynamic stochastic general equilibrium) model where monetary policy can change over time. We apply the method to find whether there is any regime shifts in Korea’s monetary policy using the macroeconomic data since 1991. The monetary policy is modeled as a Taylor-type rule in which the interest rate responses to the past interest rate, inflation, and output gap. The model is solved by the method by Farmer, Waggoner, Zha (2006) and the parameters and the unobservable state variables are estimated by a MCMC (Markov chain Monte Carlo) algorithm. According to the estimation results, there have been a few regime shifts in the monetary policy rule since 1991. We find statistical evidence of regime shifts in the persistence of the interest rate but we fail to find any evidence of regime shift in the response of the interest rate to inflation and output. Moreover, the regime shifts turn out not to be related to the adoption of the inflation targeting in 1999.

목차

1. Introduction

2. A Markov Switching DSGE Model

3. Solving and Estimating Markov Switching DSGE Models

4. Estimation

5. Conclusion

References

키워드

Markov switching DSGE (dynamic stochastic general equilibrium) models Bayesian inference MCMC (Markov chain Monte Carlo) Monetary policy rule