The Operations of the Bank of England, 1890-1908: A Dynamic Probit Approach

The origins of foreign exchange policy: the National Bank of Belgium and the quest for monetary independence in the 1850s

“…This was the case neither for (the domestic portfolio, i.e. the recipient of the activities of the Bank's standing facility) nor for and (the monetary base) 23 : as a matter of fact, the size of these items was demand-driven, and could only be indirectly influenced by monetary policy in the medium term 24 .…”

“…23 Of course, the same applies for , whose size was determined automatically by and . 24 This is a problem modern central bank have been facing very compellingly a few decades ago. After some failed experiments in quantitative control of the monetary base during the 1970s, central bankers nowadays agree on the principle that monetary policy implementation should not focus on quantities (whose extent is demanddriven) but on prices (whose level can be positively influenced by central banks).…”

A Model for the Federal Funds Rate Target

“…The drawback is that signiÞcant serial correlation is likely to characterize the latent residuals. The dynamic probit speciÞcation (Eichengreen, Watson, and Grossman, 1985;Davutyan and Parke, 1995) is one way to deal with this, but has the drawback of requiring difficult nu-merical integrations. Monte Carlo Markov chain simulations (McCulloch and Rossi, 1994) and importance-sampling simulation estimators (Lee, 1999) are promising alternative estimation strategies.…”

Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate

“…In discrete-choice models of a cross section of individuals, a maintained assumption is that each individual's random utility shock is an independent draw from the population distribution. Qualitative-response models have also become popular for time series such as business recessions, financial crises and interest-rate changes [Estrella and Mishkin (1997); Frankel and Rose (1996) ;Bernard and Gerlach (1996) ;Eichengreen, Rose and Wyplosz (1995); Davutyan and Parke (1995)]. …”