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Identifier to cite or link to this item: https://doi.org/10.15057/19214
Identifier to cite or link to this item: https://hdl.handle.net/10086/19214

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Title
Duration Analysis of Interest Rate Spells : Cross-National Study of Interest Rate Policy
Creator
Creator Name
Guo, Yingwen Guo, Yingwen
Affiliation
Affiliation Name
City University of Hong Kong
Creator Name
Zhou Z.F., Sherry Zhou Z.F., Sherry
Affiliation
Affiliation Name
City University of Hong Kong
Key Word
Duration Analysis
Taylor Rule
Parametric Models
Nonparametric Models
JEL
C14
C41
C52
E43
E52
Abstract
A duration analysis is adopted in this study to investigate the determinants of the "interest rate spells" across ten countries (or area) . Both parametric and nonparametric methods are employed for the analysis. It is found that the length of "interest rate spells" is affected by both the rate of inflation and the rate of economic growth. In contrast, the influence of exchange and unemployment rates proved to be insignificant and the lagged interest rate is significant only for Denmark. The empirical results support the contention that central banks usually design their interest rate policies based on the Taylor Rule.
Publisher
Hitotsubashi University
Issued Date
2011-06
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/19214
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
52
Issue Number
1
Page Start
1
Page End
11
Appears in Collections
Vol. 52, no. 1 (Jun. 2011)
URL
https://hdl.handle.net/10086/19214