Optimal monetary policy rules : theory and estimation for OECD countries

Zhang W (2004)
Bielefeld (Germany): Bielefeld University.

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Bielefeld Dissertation | English
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Semmler, Willi (Prof. Dr.)
Abstract
This dissertation focuses on monetary policy rules in the OECD countries at both theoretical and empirical levels. It is divided into seven chapters. Chapter 1 presents some recent literature on monetary policy rules and introduces the goal and organization of this dissertation. Chapter 2 explores some empirical evidence of IS and Phillips curves, because these two equations have become baseline framework of monetary policy. Both backward- and forward-looking behaviors are considered. A time-varying Phillips curve is also estimated. Chapter 3 discusses two important monetary policy rules: the money supply rule and the interest rate rule. Advantages and disadvantages of these two rules are explored. Chapter 4 explores time-varying monetary policy rules with Chow break-point test and Kalman filter. The estimation results indicate that there are some structural changes in the monetary policy in the countries studied. The author also simulates the Euro-area economy under the assumption that the Euro-area had followed the time-varying US monetary policy in the 1990s and concludes that the monetary policy seems to be too tight in the Euro-area in the 1990s. Chapter 5 explores monetary policy rules under uncertainty. The author first explores empirical evidence of model uncertainty with a state-space model with Markov-switching. Based on this evidence, the author then explores monetary policy under uncertainty with two approaches: the adaptive learning and the robust control. The results indicate that uncertainty does not necessarily require caution and that state variables do not necessarily converge even in a deterministic model with the adaptive learning. Chapter 6 then explores monetary policy with financial markets. The author endogenizes the probability for the asset price bubble to increase or decrease in the next period and derives a nonlinear policy rule. The author also simulates the economy with financial asset in the presence of the zero-interest-rate bound and concludes that monetary policy should not ignore financial markets. Chapter 7 presents some concluding remarks of the dissertation.
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Zhang W. Optimal monetary policy rules : theory and estimation for OECD countries. Bielefeld (Germany): Bielefeld University; 2004.
Zhang, W. (2004). Optimal monetary policy rules : theory and estimation for OECD countries. Bielefeld (Germany): Bielefeld University.
Zhang, W. (2004). Optimal monetary policy rules : theory and estimation for OECD countries. Bielefeld (Germany): Bielefeld University.
Zhang, W., 2004. Optimal monetary policy rules : theory and estimation for OECD countries, Bielefeld (Germany): Bielefeld University.
W. Zhang, Optimal monetary policy rules : theory and estimation for OECD countries, Bielefeld (Germany): Bielefeld University, 2004.
Zhang, W.: Optimal monetary policy rules : theory and estimation for OECD countries. Bielefeld University, Bielefeld (Germany) (2004).
Zhang, Wenlang. Optimal monetary policy rules : theory and estimation for OECD countries. Bielefeld (Germany): Bielefeld University, 2004.
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