多制度协整VAR(MRCIVAR)下的延迟货币政策效应

IF 2 Q2 ECONOMICS
Pu Chen , Willi Semmler , Helmut Maurer
{"title":"多制度协整VAR(MRCIVAR)下的延迟货币政策效应","authors":"Pu Chen ,&nbsp;Willi Semmler ,&nbsp;Helmut Maurer","doi":"10.1016/j.ecosta.2022.03.004","DOIUrl":null,"url":null,"abstract":"<div><div><span>The effectiveness of monetary policies under delayed policy impacts are explored. Initially, in the context of a </span>differential delay<span> system, the macro-finance link is investigated. The nonlinear macro system with delays gives rise to a time-delayed optimal control<span><span> problem. The optimality conditions are then analyzed, and the control problem is numerically solved by </span>discretization and optimization methods. These solutions suggest that with too much delay, destabilizing financial conditions may emerge, rendering the policy ineffective. Then the possibility of asymmetric adjustments to a long-run steady-state, in a non-stationary environment is explored using a multi-regime cointegrated VAR (MRCIVAR) model for both an interest rate cut, and a non-interest rate cut regime. Though the rate cuts may not perform well with too long of a delay, given diverse shocks, monetary policy still performs better in a rate cut regime. Given the perils of deteriorating financial conditions, the better stabilization properties in a rate cut regime are empirically validated through data for European countries and the US.</span></span></div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"33 ","pages":"Pages 105-134"},"PeriodicalIF":2.0000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR)\",\"authors\":\"Pu Chen ,&nbsp;Willi Semmler ,&nbsp;Helmut Maurer\",\"doi\":\"10.1016/j.ecosta.2022.03.004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div><span>The effectiveness of monetary policies under delayed policy impacts are explored. Initially, in the context of a </span>differential delay<span> system, the macro-finance link is investigated. The nonlinear macro system with delays gives rise to a time-delayed optimal control<span><span> problem. The optimality conditions are then analyzed, and the control problem is numerically solved by </span>discretization and optimization methods. These solutions suggest that with too much delay, destabilizing financial conditions may emerge, rendering the policy ineffective. Then the possibility of asymmetric adjustments to a long-run steady-state, in a non-stationary environment is explored using a multi-regime cointegrated VAR (MRCIVAR) model for both an interest rate cut, and a non-interest rate cut regime. Though the rate cuts may not perform well with too long of a delay, given diverse shocks, monetary policy still performs better in a rate cut regime. Given the perils of deteriorating financial conditions, the better stabilization properties in a rate cut regime are empirically validated through data for European countries and the US.</span></span></div></div>\",\"PeriodicalId\":54125,\"journal\":{\"name\":\"Econometrics and Statistics\",\"volume\":\"33 \",\"pages\":\"Pages 105-134\"},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2025-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrics and Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2452306222000259\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2452306222000259","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

摘要

探讨了延迟政策影响下货币政策的有效性。首先,在微分时滞系统的背景下,研究了宏观金融环节。具有时滞的非线性宏观系统引起了时滞最优控制问题。分析了系统的最优性条件,采用离散化和优化方法对控制问题进行了数值求解。这些解决方案表明,如果拖延太久,可能会出现不稳定的金融状况,从而使政策失效。然后,利用多制度协整VAR (MRCIVAR)模型探讨了在非平稳环境下利率下调和非利率下调两种制度下不对称调整到长期稳定状态的可能性。考虑到各种各样的冲击,尽管降息延迟太久可能效果不佳,但货币政策在降息机制下仍会表现得更好。鉴于金融状况不断恶化的危险,降息机制具有更好的稳定特性,这一点通过欧洲国家和美国的数据得到了实证验证。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR)
The effectiveness of monetary policies under delayed policy impacts are explored. Initially, in the context of a differential delay system, the macro-finance link is investigated. The nonlinear macro system with delays gives rise to a time-delayed optimal control problem. The optimality conditions are then analyzed, and the control problem is numerically solved by discretization and optimization methods. These solutions suggest that with too much delay, destabilizing financial conditions may emerge, rendering the policy ineffective. Then the possibility of asymmetric adjustments to a long-run steady-state, in a non-stationary environment is explored using a multi-regime cointegrated VAR (MRCIVAR) model for both an interest rate cut, and a non-interest rate cut regime. Though the rate cuts may not perform well with too long of a delay, given diverse shocks, monetary policy still performs better in a rate cut regime. Given the perils of deteriorating financial conditions, the better stabilization properties in a rate cut regime are empirically validated through data for European countries and the US.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
3.10
自引率
10.50%
发文量
84
期刊介绍: Econometrics and Statistics is the official journal of the networks Computational and Financial Econometrics and Computational and Methodological Statistics. It publishes research papers in all aspects of econometrics and statistics and comprises of the two sections Part A: Econometrics and Part B: Statistics.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信