Weak instruments and estimated monetary policy rules

Bayar, Omer

doi:10.1016/j.jmacro.2018.10.004

Cited by 4 publications

(4 citation statements)

References 54 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…By selecting the variables based on in-sample correlations, this selection procedure is likely to break the exclusion restriction of the IVs selected. Although (to my knowledge) this crude thresholding has not been applied to IV-based limited-information inference, more sophisticated versions of thresholding have been considered in the past (e.g., Mirza and Storjohann (2014, Appendix B) and Bayar (2018)). 6The first two selection procedures (random selection and crude thresholding) arguably cover the extremes in terms of the effects IV selection can have on the validity of the IVs.…”

Section: Ad-hoc Selection Of Instrumental Variablesmentioning

confidence: 99%

“…However, all of these approaches treat the IVs as fixed, and are hence not applicable in the context of time series. 6 The hard thresholding in Mirza and Storjohann (2014, Appendix B) and Bayar (2018) is not applicable in high-dimensional contexts, since OLS is infeasible when there are more variables than observations. 7 See also the ranking of IVs based on t-values in Mirza and Storjohann (2014, Table B1).…”

Section: Ad-hoc Selection Of Instrumental Variablesmentioning

confidence: 99%

“…The limited literature that seeks to formally address the high dimensionality of the available IVs in such macroeconomic settings is primarily motivated by the potential inefficiency of using IVs selected in an ad-hoc way (Bayar, 2018;Berriel, Medeiros, andSena, 2016, 2019;Kapetanios, Khalaf, and Marcellino, 2015;Mirza and Storjohann, 2014). Through simulations and/or empirical applications, these studies find smaller confidence sets than the ones implied by IVs traditionally used in the past.…”

mentioning

confidence: 99%

See 2 more Smart Citations

Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables

Dovì¹

2021

Preprint

View full text Add to dashboard Cite

Limited-information inference on New Keynesian Phillips Curves (NKPCs) and other singleequation macroeconomic relations is characterised by weak and high-dimensional instrumental variables (IVs). Beyond the efficiency concerns previously raised in the literature, I show by simulation that ad-hoc selection procedures can lead to substantial biases in post-selection inference. I propose a Sup Score test that remains valid under dependent data, arbitrarily weak identification, and a number of IVs that increases exponentially with the sample size.Conducting inference on a standard NKPC with 359 IVs and 179 observations, I find substantially wider confidence sets than those commonly found. * I thank Sophocles Mavroeidis and Anna Mikusheva for very helpful comments and suggestions. All errors and omissions are my own.

show abstract

Section: Ad-hoc Selection Of Instrumental Variablesmentioning

confidence: 99%

Section: Ad-hoc Selection Of Instrumental Variablesmentioning

confidence: 99%

mentioning

confidence: 99%

See 1 more Smart Citation

Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables

Dovì¹

2021

Preprint

View full text Add to dashboard Cite

show abstract

“…This general interest in inflation forecasts has renewed in the recent years after the dramatic changes in the global economy during the Great Recession and its aftermath. Bayar (2018) offers new approaches to evaluate the inflation targeting methods based on the Taylor rule. It points to the lack of accuracy of the previously proposed econometric methods and offers better instruments to increase the accuracy of the made forecasts.…”

Section: Literature Reviewmentioning

confidence: 99%

Refinancing as an element of control over inflation

Масленников¹,

Korovin²,

Afanasyeva³

2019

JESI

View full text Add to dashboard Cite

The article is devoted to the problem of understanding the role and application of refinancing of bank systems as an instrument of monetary policy that can influence the parameters of the money market and the real sector of economy. The author analyses the differences in the impact of refinancing instruments of the central banks to economic indicators of 7 countries, namely: The USA, New Zealand, Norway, South Africa, China, Australia and India. The countries with different levels of economic development and with different banking systems, as well as refinancing mechanisms were chosen for the study. The paper focuses on the impact of changes in the refinancing rate on inflation, as well as on the index of consumer prices. The aspect of management is also considered. Common methods, based on econometrics, can determine the dependence, which does not coincide with the notion of "governance" in its broad sense. Thus, the purpose of the work is an attempt to define the properties of a monetary policy instrument as a control element, whichwhen changed can predetermine a change in the controlled factor. This is an attempt to contribute to the discussion of the role of central banks refinancing in managing inflation. In order to obtain the results the new mathematical analysis tool was used that incorporates the aspects of methods that assess monetary policy's impact on macroeconomic indices, which are not recognized within standard econometric models. For this purpose, the authors used a function that determines the dependence of the coefficient from the correlation between the refinancing rate and the inflation rate based on the length of the period of time used for the temporary data used, the time of the beginning of this period and the time lag of inflation data in relation to these rates of refinancing. The authors suggest that the tool to influence inflation on has a deterministic quality (i.e., depending on the external factors it may lead to the opposite results) and has no stable time lag.

show abstract

Reducing large datasets to improve the identification of estimated policy rules

Bayar

2021

Empir Econ

View full text Add to dashboard Cite

Weak instruments and estimated monetary policy rules

Cited by 4 publications

References 54 publications

Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables

Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables

Refinancing as an element of control over inflation

Reducing large datasets to improve the identification of estimated policy rules

Contact Info

Product

Resources

About