Estimating interest rate setting behaviour in Korea: a constrained ordered choices model approach

Monetary Stance and Favorableness of Monetary Policy in the Media: The Case of Viet Nam

“…The empirical results indicate that monetary policy responds to M3 growth, real economy status, and changes in the exchange rate, except for inflation. (Kim, Shi, and Hwang 2016) employed three types of constrained ordered choice models, and established the decisive role of output gap and exchange rate in studying the Bank of Korea's interest rate decision-making process. Mgadmi et al (2021) examined the Taylor rule in the Tunisian context.…”

Stop‐go Monetary Policy

“…Unlike these studies, Kim, Jackson, and Saba (2009) followed Hu and Phillips and excluded lagged target rates from their reaction function specifications. Kim, Shi, and Hwang (2016) estimate models with and without lagged target rates. Bayar (2015) uses an ordered probit framework, but he finds that inertia is less pronounced in his discrete choice model than in standard linear models that include lagged dependent variables.…”

“…Modeling strategies broadly similar to that of Hu‐Phillips have also been used by Eichengreen, Watson, and Grossman (), Dueker (), Genberg and Gerlach (), Gerlach (), Kim, Mizen, and Chevapatrakul (), Boeckx (), and Kim (). Unlike these studies, Kim, Jackson, and Saba () followed Hu and Phillips and excluded lagged target rates from their reaction function specifications.…”

Predicting China’s Monetary Policy with Forecast Combinations

“…The probability forecasts are obtained by modelling the relationship between the MPI and the macroeconomic and financial predictors with discrete choice models. Discrete choice models are well suited to modelling the discrete timing and magnitude of central banking decision as shown for the European Central Bank in Gerlach (2007), the Bank of Korea in Kim et al (2016), the Reserve Bank of Australia in Vasnev et al (2013), the US Federal Reserve in Kauppi (2012) and Kim et al (2009) and the People's Bank of China in He and Pauwels (2008). Kim and Shi (2018) conducted out-of-sample forecasts for the benchmark lending and deposit rates using an ordered probit model but do not attempt to forecast an overall PBoC monetary policy stance.…”