429 research outputs found
Taking Personalities out of Monetary Policy Decision Making?:Interactions, Heterogeneity and Committee Decisions in the Bank of England's MPC
Get PDFThe transparency of the monetary policymaking process at the Bank of England has provided very detailed data on both the votes of individual members of the Monetary Policy Committee and the information on which they are based. In this paper we consider interval censored responses of individual committee members in the context of a model in which inflation forecast targeting is used but there is both heterogeneity and interaction among the members of the committee. We find substantial heterogeneity in the policy reaction function across members. Further, we identify significant interactions between individual decisions of the committee members. The nature of these interdependencies inform about information sharing and strategic interactions within the Bank of England’s Monetary Policy Committee
Understanding Interactions in Social Networks and Committees
Get PDFWhile much of the literature on cross section dependence has fo?cused mainly on estimation of the regression coefficients in the under?lying model, estimation and inferences on the magnitude and strength of spill-overs and interactions has been largely ignored. At the same time, such inferences are important in many applications, not least because they have structural interpretations and provide useful inter?pretation and structural explanation for the strength of any interac?tions. In this paper we propose GMM methods designed to uncover underlying (hidden) interactions in social networks and committees. Special attention is paid to the interval censored regression model. Our methods are applied to a study of committee decision making within the Bank of England¡¯s monetary policy committee.Committee Decision Making, Social Networks, Cross Section and Spatial Interaction, Generalised Method of Moments, Censored Regression Model, Expectation-Maximisation Algorithm, Monetary Policy, Interest Rates.
Productivity, Preferences and UIP deviations in an Open Economy Business Cycle Model
Get PDFWe show that a ‡ex-price two-sector open economy DSGE model can explain the poor degree of international risk sharing and exchange rate disconnect. We use a suite of model evaluation measures and examine the role of (i) traded and non-traded sectors; (ii) financial market incompleteness; (iii) preference shocks; (iv) deviations from UIP condition for the exchange rates; and (v) creditor status in net foreign assets. We find that there is a good case for both traded and non-traded productivity shocks as well as UIP deviations in explaining the puzzles
Taking Personalities out of Monetary Policy Decision Making? Interactions, Heterogeneity and Committee Decisions in the Bank of England’s MPC
Get PDFThe transparency of the monetary policymaking process at the Bank of England has provided very detailed data on both the votes of individual members of the Monetary Policy Committee and the information on which they are based. In this paper we consider interval censored responses of individual committee members in the context of a model in which inflation forecast targeting is used but there is both heterogeneity and interaction among the members of the committee. We find substantial heterogeneity in the policy reaction function across members. Further, we identify significant interactions between individual decisions of the committee members. The nature of these interdependencies inform about information sharing and strategic interactions within the Bank of England’s Monetary Policy Committee.Monetary policy; Interest rates; Committee decision making; Expectation-Maximisation Algorithm; Spatial Weights Matrix; Spatial Error Model.
Structural Interactions in Spatial Panels
Get PDFCross-sectional and spatial dependence, Spatial weights matrix, Spatial interactions, Monetary policy committee, Generalised method of moments, E42, E43, E50, E58,
Partial Orders with Respect to Continuous Covariates and Tests for the Proportional Hazards Model
Get PDFSeveral omnibus tests of the proportional hazards assumption have been proposed in the literature. In the two-sample case, tests have also been developed against ordered alternatives like monotone hazard ratio and monotone ratio of cumulative hazards. Here we propose a natural extension of these partial orders to the case of continuous covariates. The work is motivated by applications in biomedicine and economics where covariate e¤ects often decay over lifetime. We develop tests for the proportional hazards assumption against ordered alternatives and propose a graphical method to identify the nature of departures from proportionality. The proposed tests do not make restrictive assumptions on the underlying regression model, and are applicable in the presence of multiple covariates and frailty. Small sample performance and applications to real data highlight the usefulness of the framework and methodology
Inflation Targeting, Committee Decision Making and Uncertainty: The Case of the Bank of England’s MPC
Get PDFThe transparency and openness of the monetary policymaking process at the Bank of England has provided very detailed information on both the decisions of individual members of the Monetary Policy Committee and the information on which they are based. In this paper we consider this decision making process in the context of a model in which inflation forecast targeting is used but there is heterogeneity among the members of the committee. We find that internally generated forecasts of output and market generated expectations of medium term inflation provide the best description of discrete changes in interest rates. We also find a role for asset prices through the equity market, foreign exchange market and housing prices. There are also identifiable forms of heterogeneity among members of the committee that improves the predictability of interest rate changes. This can be thought of as supporting the argument that full transparency of monetary policy decision making can be welfare enhancing.Intertemporal macro; Monetary policy; interest rates; monetary policy committee; committee decision making.
Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity
Get PDFWe develop tests of the proportional hazards assumption, with respect to a continuous covariate, in the presence of unobserved heterogeneity with unknown distribution at the individual observation level. The proposed tests are specially powerful against ordered alternatives useful for modeling non-proportional hazards situations. By contrast to the case when the heterogeneity distribution is known up to finite dimensional parameters, the null hypothesis for the current problem is similar to a test for absence of covariate dependence. However, the two testing problems di¤er in the nature of relevant alternative hypotheses. We develop tests for both the problems against ordered alternatives. Small sample performance and an application to real data highlight the usefulness of the framework and methodology
A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models
Get PDFThis paper extends commonly used tests for equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the hypothesis that the conditional hazard rate is the same for all covariate values, against the omnibus alternative as well as more specific alternatives, when the covariate is continuous. The tests developed are particularly useful for detecting trend in the underlying conditional hazard rates or changepoint trend alternatives. Asymptotic distribution of the test statistics are established and small sample properties of the tests are studied. An application to the e¤ect of aggregate Q on corporate failure in the UK shows evidence of trend in the covariate e¤ect, whereas a Cox regression model failed to detect evidence of any covariate effect. Finally, we discuss an important extension to testing for proportionality of hazards in the presence of individual level frailty with arbitrary distribution.(This abstract was borrowed from another version of this item.)</p
A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models
Get PDFThis paper extends commonly used tests for equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the hypothesis that the conditional hazard rate is the same for all covariate values, against the omnibus alternative as well as more specific alternatives, when the covariate is continuous. The tests developed are particularly useful for
detecting trend in the underlying conditional hazard rates or changepoint trend alternatives. Asymptotic distribution of the test statistics are established and small sample properties of the tests are studied. An application to the e¤ect of aggregate Q on corporate failure in the UK shows evidence of trend in the covariate e¤ect, whereas a Cox regression model failed to detect evidence of any covariate effect. Finally, we discuss an
important extension to testing for proportionality of hazards in the presence of individual level frailty with arbitrary distribution
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