Policymakers’ Votes and Predictability of Monetary Policy
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(3) EUROPEAN UNIVERSITY INSTITUTE, FLORENCE. DEPARTMENT OF ECONOMICS. Policymakers’ Votes and Predictability of Monetary Policy ANDREI SIRCHENKO. EUI Working Paper ECO 2011/05.
(4) This text may be downloaded for personal research purposes only. Any additional reproduction for other purposes, whether in hard copy or electronically, requires the consent of the author(s), editor(s). If cited or quoted, reference should be made to the full name of the author(s), editor(s), the title, the working paper or other series, the year, and the publisher. ISSN 1725-6704. © 2011 Andrei Sirchenko Printed in Italy European University Institute Badia Fiesolana I – 50014 San Domenico di Fiesole (FI) Italy www.eui.eu cadmus.eui.eu.
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(83) G=;B=O75B79 @9J9@ . ( .(,#'! * (* + &,, * " ('(& ,*# .# ' %CGH 97CBCA=7 897=G=CBG 89D9B8 8=F97H@M CF =B8=F97H@M CB H<9 DF98=7H56=@=HM C: ACB 9H5FM DC@=7M (CC@9 2*39J95@=B; H<9 ACB9H5FM DC@=7M 7CAA=HH99QG JCH9 A5M 75FFM 5 GHFCB; <=BH 56CIH K<9F9 =BH9F9GH F5H9G A=;<H <958 =B H<9 :IHIF9 JCH9 2 3 7CBJ9MG F5H<9F 8=W9F9BH =B:CFA5H=CB H<5B 5 JCH9 @=B89F . CK 75B H<9 8=G5;F99A9BH 5ACB; H<9 %( A9A69FG =ADFCJ9 DF98=7H=CB C: H<9 B9LH DC@=7M 897=G=CB +IDDCG9 H<5H =B CB9 75G9 H<9 DC@=7M F5H9 K5G IB5B=ACIG@M @9:H IB7<5B;98 5H H<9 @5GH A99H=B; K<=@9 =B H<9 G97CB8 75G9 =H K5G GH=@@ @9:H IB7<5B;98 6IH BCH 5G 5 F9GI@H C: 5 IB5B=ACIG 897=G=CB 5 A=BCF=HM :5JCF98 5 <=;<9F F5H9 &5HIF5@@M =B H<9 @5HH9F 75G9 CB9 75B 9LD97H 5B 588=H=CB5@ DF9GGIF9 HC =B7F95G9 H<9 F5H9 5H H<9 B9LH A99H=B; ,<9 8=F97H=CB C: 8=GG9BH=B; JCH9G =B8=75H9G H<9 DC@=7M =B7@=B5H=CB K<=@9 H<9 89;F99 C: 8=GG9BH GI;;9GHG H<9 @=?9@=<CC8 C: DC@=7M 58>IGHA9BH F5H=CB5@9 69<=B8 H<=G GI;;9GH98 6M 9F@57<#F=GH9B A=;<H 69 8I9 HC H<9 )( * $ )) C: =BH9F9GH F5H9G 5B8 IB79FH5=BHM ,<9 8=G7F9H9B9GG C: 5BBCIB798 DC@=7M F5H9 =G 5 <IA5BA589 D<9BCA9BCB H<9F9 =G BC F95GCB HC 69@=9J9 H<5H H<9 CDH=A5@ IB89F@M=B; =BH9F9GH F5H9 =G 5@GC 5 8=G7F9H9J5@I98 J5F=56@9 'B9 75B 5GGIA9 5 . ,<9 F9GI@HG C: H<9 H9GHG 5F9 5J5=@56@9 IDCB F9EI9GH.
(84) .
(85) @5H9BH 7CBH=BICIG DC@=7M F5H9 H<5H <CK9J9F =G BCH C6G9FJ98 6M H<9 %( A9A69FG K=H< 79FH5=BHM +IDDCG9 H<9 CDH=A5@ F5H9 7<5B;9 =G
(86) 65G=G DC=BHG C6G9FJ98 6M H<9 DC@=7MA5?9FG K=H< 9FFCFG =B H<9 F5B;9 C:
(87) 65G=G DC=BHG 'B9 G<CI@8 H<9B 9LD97H H<9 A5>CF=HM C: H<9 %( A9A69FG HC JCH9 :CF 5 65G=GDC=BH <=?9 5B8 H<9 A=BCF=HM :CF 5 BC7<5B;9 897=G=CB !: H<9 JCH=B; F97CF8G 5F9 F9@95G98 =H 697CA9G 9J=89BH H<5H H<9 CDH=A5@ =BH9F9GH F5H9 =G 69@CK H<9 5BBCIB798 CB9 <9B79 H<9 DFC656=@=HM C: :IHIF9 F5H9 7IH =B7F95G9G G BCH98 6M 9F55HG H<9 JCH=B; F97CF8G A5M 7CFF97H@M =B8=75H9 H<9 9L=GH=B; DC@=7M =B7@=B5H=CB CB@M =: H<9 8=GHF=6IH=CB C: H<9 DF9:9FF98 DC@=7M F5H9G 5ACB; H<9 %( A9A69FG =G GIV7=9BH@M K=89 5B8 GMAA9HF=7 +IDDCG9 H<5H =B H<9 56CJ9 75G9 H<9 CDH=A5@
(88) 65G=GDC=BH F5H9 7<5B;9 =G C6G9FJ98 6M H<9 DC@=7MA5?9FG K=H< 9FFCFG =B H<9 F5B;9 C: CF 5@H9FB5H=J9@M 65G=G DC=BHG ,<9B 5@@ H<9 A9A69FG =B 6CH< 75G9G KCI@8 JCH9 :CF 5 65G=GDC=BH =B7F95G9 5B8 H<9 JCH=B; D5HH9FBG KCI@8 $%* F9J95@ H<9 B9;5H=J9 DC@=7M H=@H !B H<=G G97H=CB ! DF9G9BH H<9 97CBCA9HF=7 9J=89B79 CB K<9H<9F H<9 BCB5HHF=6IH98 JCH=B; F97CF8G C: H<9 @5GH %( A99H=B; 7CI@8 9B<5B79 H<9 DF98=7H56=@=HM 5B8 =ADFCJ9 H<9 DF=J5H9 G97HCF 5BH=7=D5H=CB C: H<9 B9LH DC@=7M F5H9 897=G=CB ! 9AD@CM98 6CH< H<9 A5F?9H65G98 5B8 GIFJ9M65G98 A95GIF9G C: DF=J5H9 G97HCF 5BH=7=D5H=CBG ,<9 DC@=7M DF98=7H56=@=HM 577CF8=B; HC H<9 K=89@M 9GH56@=G<98 DF57H=79 =B H<9 57589A=7 @=H9F5HIF9 K5G 5B5@MN98 =B H<9 7CBH9LH C: ACB9H5FM DC@=7M F957H=CB :IB7H=CBG CF FI@9G CK9J9F H<9 ACB9H5FM DC@=7M FI@9G K9F9 9GH=A5H98 =B 8=W9F9B79G F5H<9F H<5B =B @9J9@G IG=B; 5 8=G7F9H9 CF89F98 7<C=79 5DDFC57< - * %+* 5B8 - * H<9 J5F=56@9 ! ,<9 58J5BH5;9 C: 5 8=W9F9B79 GD97=O75H=CB =G H<5H =H =G ACF9 CD9F5H=CB5@ ACF9 HF5BGD5F9BH :CF DI6@=7 5B8 FC6IGH HC A=GA95GIF9A9BH C: IBC6 G9FJ56@9 J5F=56@9G GI7< 5G 5 RB9IHF5@ =BH9F9GH F5H9 G99 'FD<5B=89G 5B8 /=@@=5AG :CF 7CAD5F=GCB C: H<9 @9J9@ 5B8 8=W9F9B79FI@9 5DDFC57<9G IB89F H<9 :F5A9KCF? C: =AD9F:97H ?BCK@98;9 @@ H<9 85H5 IG98 =B H<9 9AD=F=75@ 9GH=A5H=CBG 9L79DH H<9 JCH=B; F97CF8G K9F9 5J5=@56@9 HC H<9 DI6@=7 =B F95@ H=A9 5H H<9 @5H9GH CB9 85M 69:CF9 957< DC@=7MA5?=B; A99H=B; %CF9 GD97=O75@@M ! <5J9 5B5@MN98 H<9 :C@@CK=B; :CIF EI9GH=CBG. . ( .(,#'! * (* + #' #,#(' ,( * % .', ('(&# , " %) )* # , ," ' /, )(%# 0 *, #+#('. ,<9 F9@5H=CB 69HK99B H<9 A95GIF9 C: 8=GG9BH 5H H<9 @5GH %( A99H=B; ! 5B8 <=GHCF=75@ IB7CBGC@=85H98 7<5B;9 HC H<9 F5H9 5H H<9 GI6G9EI9BH A99H=B; =G =HG9@: F5H<9F K95? (95FGCB 7CFF9@5H=CB 7C9V7=9BHG 5F9
(89) 5B8 :CF H<9 OFGH
(90) T
(91) 5B8 H<9 G97CB8 T
(92) D9F=C8G F9GD97H=J9@M !B H<9 CF8=B5FM @95GH GEI5F9G '$+ F9;F9GG=CB C: <=GHCF=75@ 7<5B;9 HC H<9 F5H9 5H H<9 GI6G9EI9BH A99H=B; CB ! H<9 @5HH9F =G BCH G=;B=O75BH 5H H<9 @9J9@ IG=B; /<=H9QG <9H9FCG?985GH=7=HM7CBG=GH9BH GH5B85F8 9FFCFG =B 9=H<9F D9F=C8 H<9 DJ5@I9G C: H<9 7C9V7=9BH C: ! 5F9 5B8 5B8 58>IGH98 G 5F9 5B8
(93) :CF H<9 OFGH 5B8 G97CB8 D9F=C8G F9GD97H=J9@M !B H<9 CF89F98 DFC6=H F9;F9GG=CB ! 5G 5 G=B;@9 9LD@5B5HCFM J5F=56@9 89ACBGHF5H9G K95? DF98=7H=J9 DCK9F :CF 9GD97=5@@M =B H<9 G97CB8 D9F=C8 G99 %C89@
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
(95)
(96).
(97)
(98)
(99) ! . Sample Model b1.
(100) ! . 1998/03-2004/01 (71 observations) (1) (2) 1.18 (0.42)***. 2.76 (0.59)***. b2. 2004/02-2009/12 (71 observations) (1) (2) 1.01 (2.48). 2.51 (0.68)***. 8.92 (3.02)*** 5.13 (1.17)***. 2. McFadden McKelvey-Zavoina Hit rate. Goodness-of-fit pseudo-R measures with (without) skew t-1 0.02 (0.00) 0.11 (0.04) 0.00 (0.00) 0.06 (0.00) 0.28 (0.10) 0.00 (0.00) 0.58 (0.56) 0.61 (0.44) 0.66 (0.66). 2. LR test (Prob > Ȥ ) of equality of coefficients in 1998/3-2004/1 and 2004/2-2009/12 periods with (without) skew t-1. 0.21 (0.15) 0.42 (0.32) 0.69 (0.68). 0.007 (0.003). 0.029 (0.009). Notes: The ordered probit estimations with Huber(1967)/White(1980) robust standard in parentheses. ***/**/* denote significance at 1/5/10 % level, respectively. The cutpoints are estimated, but not reported here.. % C JCH=B; F97CF8G A5HH9F =: =B7@I898 =B ,5M@CFHMD9 FI@9G 5
(101)
(102) ! 6
(103) ! 5
(104) ! . 6
(105) . Sample Model. ! . 1998/03-2004/01 (71 observations) 2004/02-2009/12 (71 observations) (3a) (3b) (4a) (4b) (3a) (3b) (4a) (4b) 2.23*** 1.87** 1.36* 2.35*** 4.13*** 3.16** 2.65* 3.36*** (0.78) (0.80) (0.82) (0.69) (1.34) (1.36) (1.42) (1.16) 0.85** 1.57*** 0.05*** 0.23 1.24*** 3.47*** 0.06*** 1.63*** (0.34) (0.57) (0.01) (0.21) (0.43) (0.78) (0.02) (0.42) 0.09 -0.00 -0.02 -0.00 0.23 0.05*** 0.05*** 0.05*** (0.12) (0.01) (0.01) (0.01) (0.14) (0.02) (0.01) (0.01) 3.01*** 2.99*** 2.90*** 2.95*** 7.68** 10.81*** 9.72*** 10.70*** (0.69) (0.82) (0.79) (0.60) (3.18) (3.27) (3.50) (3.01) 2 Goodness-of-fit pseudo-R measures with (without) skew t-1. b1 b2 b3 b4 McFadden McKelvey-Zavoina Hit rate. 0.21(0.13) 0.19(0.11) 0.20(0.13) 0.12(0.04) 0.31(0.27) 0.44(0.37) 0.39(0.33) 0.38(0.31) 0.46(0.31) 0.44(0.27) 0.45(0.31) 0.30(0.11) 0.54(0.50) 0.71(0.64) 0.69(0.63) 0.65(0.56) 0.61(0.48) 0.58(0.49) 0.61(0.54) 0.62(0.45) 0.72(0.69) 0.79(0.72) 0.68(0.68) 0.70(0.70). 2. LR test (Prob > Ȥ ) of equality of coefficients in 1998/32004/1 and 2004/2-2009/12 periods with (without) skew t-1. 0.075 (0.011). 0.002 (0.001). 0.008 (0.008). 0.000 (0.000). Notes: The ordered probit estimations with Huber(1967)/White(1980) robust standard in parentheses. ***/**/* denote significance at 1/5/10 % level, respectively. The cutpoints are estimated, but not reported here.. !B H<=G GI6G97H=CB ! DF9G9BH H<9 :C@@CK=B; 5@H9FB5H=J9 AC89@G C: DC@=7M =BH9F9GH F5H9 9GH=A5H98 G9D5F5H9@M :CF 6CH< %( H9FAG K=H< 5B8 K=H<CIH H<9 J5F=56@9 !
(106) B5YJ9 BC 7<5B;9 FI@9G G99 ,56@9 DIF9 =BH9F9GHF5H9 GACCH<=B; FI@9G G99 ,56@9 657?K5F8@CC?=B; ,5M@CFHMD9 FI@9G K=H< =BH9F9GHF5H9 GACCH<=B; G99 ,56@9 :CFK5F8 @CC?=B; ,5M@CFHMD9 FI@9G K=H< =BH9F9GHF5H9 GACCH<=B; G99 ,56@9 ,5M@CFHMD9 FI@9G
(107) .
(108) 5I;A9BH98 K=H< 9L7<5B;9 F5H9G OB5B7=5@ A5F?9H =BH9F9GH F5H9G 5B8 GDF958G 5B8 =B8=75HCF C: DC@=7M 6=5G G99 ,56@9 5B8 :5JCF98 9AD=F=75@ DC@=7M FI@9G G99 ,56@9 %CB9H5FM DC@=7M F957H=CB :IB7H=CBG GD97=O98 6M %C89@G T 5F9 K=89@M IG98 =B 6CH< H<9CF9H=75@ 5B8 9AD=F=75@ @=H9F5HIF9 ,<9 DIF9 =BH9F9GHF5H9 GACCH<=B; FI@9G K9F9 9GH=A5H98 K=H< CB9 @5; C: 89D9B89BH J5F=56@9 ,<9 @5; @9B;H< K5G 7<CG9B 577CF8=B; HC +7<K5FN =B:CF A5H=CB 7F=H9F=CB ,<9 7C9V7=9BH C: H<9 G97CB8 @5; =G BCH GH5H=GH=75@@M G=;B=O75BH 5H H<9 @9J9@ =B 9=H<9F D9F=C8 ,<9 7<C=79 C: F=;<H<5B8G=89 J5F=56@9G =B H<9 ( &%(* ,5M@CFHMD9 FI@9G K5G ACH=J5H98 6M H<9 69GH OH 5B8 5J5=@56=@=HM C: 85H5 :CF 6CH< D9F=C8G !B :57H H<9 =AD57H C: ! =G GHF=?=B;@M FC6IGH HC 6CH< J5F=CIG GD97=O75H=CBG 5B8 5@H9FB5H=J9 A95 GIF9G C: 97CBCA=7 =B8=75HCFG GI7< 5G 8=W9F9BH A95GIF9G C: 7IFF9BH 5B8 9LD97H98 =BP5H=CB 9L7<5B;9 F5H9G 5B8 F95@ 57H=J=HM H<9 9GH=A5H=CB 89H5=@G 5F9 5J5=@56@9 IDCB F9EI9GH %
(109) C JCH=B; F97CF8G A5HH9F =: =B7@I898 =B 5I;A9BH98 ,5M@CFHMD9 FI@9G
(110) " ! ! 5 6
(111) " ! ! 7
(112) ! ! . 8
(113) . Sample Model b1. ! ! . 1998/03-2004/01 (71 observations) (5a) (5b). 2004/02-2009/12 (71 observations) (5c) (5d). 1.47 (0.39)***. 1.67 (0.42)***. 3.64 (1.00)***. 2.64 (0.62)***. b2. 0.09 (0.04)**. 0.23 (0.06)***. 0.03 (0.01)**. 2.74 (0.67)***. b3. 0.87 (0.23)***. 0.87 (0.24)***. 7.18 (2.18)***. 10.21 (2.01)***. b4. 2.57 (0.67)***. 2.65 (0.68)***. b5. 1.14 (0.34)***. 1.30 (0.30)***. 11.02 (3.82)***. 10.63 (3.72)***. 2. McFadden McKelvey-Zavoina Hit rate. Goodness-of-fit pseudo-R measures with (without) skew t-1 0.59 (0.53) 0.41 (0.35) 0.45 (0.39) 0.88 (0.82) 0.73 (0.69) 0.78 (0.75) 0.83 (0.77) 0.72 (0.69) 0.77 (0.72). 0.66 (0.61) 0.91 (0.88) 0.80 (0.77). Notes: The ordered probit estimations with Huber(1967)/White(1980) robust standard errors in parantheses. ***/** denote significance at 1/5 % level, respectively. The cutpoints are estimated, but not reported. Data onǻ a wibor12m t are available since 2002/01, the observations before 2002/01 are set to zero. ǻ c usd t is used in the form of 30-day average.. ,<9 G5A9 GD97=O75H=CBG C: H<9 ,5M@CFHMD9 FI@9G 9GH=A5H98 G9D5F5H9@M :CF 6CH< H9FAG C: H<9 %( F9J95@ GHFI7HIF5@ 6F95?G =B DC@=7M F9GDCBG9G 577CF8=B; HC H<9 $*H9GHG !B H<9 OFGH D9F=C8 7CBHF5FM HC H<9 G97CB8 CB9 H<9 %( 8=8 BCH GMGH9A5H=75@@M F957H HC H<9 F95@ 57H=J=HM 6IH 8=8 F957H HC H<9 9L7<5B;9 F5H9 ,<9F9:CF9 H<9 5I;A9BH98 ,5M@CFHMD9 FI@9G F9DCFH98 =B ,56@9 K9F9 9GH=A5H98 IG=B; 8=W9F9BH GD97=O75H=CBG 7CBH5=B=B; =BP5H=CB . CF 9L5AD@9 H<9
(114) HF=AA98 A95B 7CF9 (! =G H<9 CB@M 7CF9 =B89L H<5H K5G BCH F989OB98 =B I;IGH ( :CF975GHG :FCA *9IH9FG GIFJ9MG 5F9 5J5=@56@9 CB@M G=B79 &CJ9A69F (! :CF975GHG 6M H<9 &( 5F9 5J5=@56@9 G=B79 I;IGH 5B8
(115) ACBH< /!'* 5F9 5J5=@56@9 G=B79 "5BI5FM
(116) H<9 DC@=7M 6=5G =G 5J5=@56@9 G=B79 96FI5FM ,<9 BI@@ <MDCH<9G=G C: 9EI5@=HM C: 7C9V7=9BHG =B %C89@G
(117) T =G F9>97H98 6M H<9 $*H9GHG 5H H<9
(118) ACGH@M CF G=;B=O75B79 @9J9@ =B 6CH< GI6D9F=C8G 9L79DH =B %C89@ 5 K=H< K<9F9 =H =G F9>97H98 5H H<9 @9J9@ G99 ,56@9G 5B8 .
(119) .
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(129) Sample Model b1. . 1999/02-2004/01 (60 observations) (6a) (6b). 2004/02-2009/12 (71 observations) (6c) (6d). 3.16 (0.84)*** 2.04 (0.63)***. 3.16 (0.86)*** 1.91 (0.61)***. 4.97 (1.87)***. 7.69 (2.31)***. 7.43 (2.19)***. 12.87 (3.12)***. 0.11 (0.05)** 1.76 (0.52)***. 0.18 (0.08)** 1.91 (0.49)***. 25.67 (8.14)***. 46.96 (12.29)***. b4. 4.54 (1.31)***. 15.60 (4.21)***. b5. 0.61 (0.15)***. 0.56 (0.14)***. -1.07 (0.34)***. -2.06 (0.69)***. 3.87 (0.94)***. 3.82 (0.99)***. b2 b3. b6 b7. 3.76 (0.90)***. 9.46 (2.37)***. 29.91 (9.94)***. 59.74 (13.69)***. b8. 7.49 (2.13)*** 2. Goodness-of-fit pseudo-R measures with (without) skew t-1 McFadden 0.64 (0.54) 0.64 (0.54) 0.83 (0.72) 0.88 (0.76) McKelvey-Zavoina 0.96 (0.93) 0.96 (0.93) 0.99 (0.95) 1.00 (0.97) Hit rate 0.83 (0.73) 0.82 (0.72) 0.90 (0.90) 0.94 (0.89) LR test of equality of coefficients across response categories with (without) skew t-1 2. Prob > ʖ. 0.223(0.054). 0.257(0.078). 0.480(0.039). 0.404(0.020). Notes: The ordered probit estimations with Huber(1967)/White(1980) robust standard errors in parantheses. ***/** denote significance at 1/5 % level, respectively. The cutpoints are estimated, but not reported. Data onǻ a wibor12m t are available since 2002/01, the observations before 2002/01 are set to zero. ǻ a wibor12m t and ǻ c usd t are used in the form of 30-day average; wibor12m t -wibor1m t is in the form of five-business-day average.. ,<9 :5JCF98 9AD=F=75@ %C89@G 5F9 85H5 8F=J9B 5B8 G9@97H98 6M 5B 9LH9BG=J9 G95F7< 5ACB; BIA9FCIG DCGG=6@9 GD97=O75H=CBG 5B8 <IB8F98G C: 9LD@5B5HCFM J5F=56@9G =B7@I8=B; OB5B7=5@ A5F?9H =B8=75HCFG IB9AD@CMA9BH 5B8 K5;9G A95GIF9G C: ACB9M GIDD@M 7F98=H 5B8 @9B8=B; =B 588=H=CB HC J5F=CIG A95GIF9G C: 7IFF9BH 5B8 9LD97H98 =BP5H=CB F95@ G97HCF 57H=J=HM 5B8 9L7<5B;9 F5H9G ,<9 &( @CC?G 5H 9J9FMH<=B; 5B8 ACB=HCFG <IB8F98G C: 85H5 G9F=9G R/<=@9 A5?=B; 897=G=CBG =H =G B979GG5FM HC H5?9 =BHC 577CIBH 5@@ 5J5=@56@9 =B:CFA5 H=CB F5H<9F H<5B >IGH H<9 =BP5H=CB DFC>97H=CBS &( ,<9 J5F=56@9G 9AD@CM98 =B
(130) .
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(134) K5G 5 D9F=C8 C: ;F58I5@ HF5BG=H=CB HC 5 B9K :F5A9KCF? C: !, 5B R=BH9F=AS M95F 588=H=CB5@@M 5W97H98 6M H<9 *IGG=5B 7F=G=G =B I;IGH (C@5XBG?= +=F7<9B?C ,<9 F9DCFH98 :5 JCF98 9AD=F=75@ DC@=7M FI@9G =B ,56@9 5F9 57HI5@@M H<9 9LH9B898 J9FG=CBG C: H<9 ,5M@CFHMD9 FI@9 5B8 =B7@I89 7IFF9BH 5B8 9LD97H98 (! 9L7<5B;9 F5H9 5B8 A5F?9H =BH9F9GH F5H9G 5B8 GDF958G =B H<9 OFGH D9F=C8 5B8 9LD97H98 (! 9LD97H98 ( A5F?9H =BH9F9GH F5H9G 5B8 GDF958G 89DCG=HG C: BCBOB5B7=5@ G97HCF 5B8 =B8=75HCF C: DC@=7M 6=5G =B H<9 G97CB8 D9F=C8 % C JCH=B; F97CF8G =ADFCJ9 DC@=7M DF98=7H56=@=HM. 2. Pseudo-R measures of fit with (without) skew t-1 McFadden McKelvey-Zavoina Hit rate Sample: 1998/03 - 2004/01 (71 observations) Naïve "no change" rule (1) 0.02 (0.00) 0.06 (0.00) 0.58 (0.56) Interest rate smoothing rule (2) 0.11 (0.04) 0.28 (0.10) 0.61 (0.44) Backward-looking Taylor rule (3a) 0.21 (0.13) 0.46 (0.31) 0.61 (0.48) Forward-looking Taylor rule (4a) 0.20 (0.13) 0.45 (0.31) 0.61 (0.54) Augmented Taylor rule (5b) 0.45 (0.39) 0.78 (0.75) 0.77 (0.72) Sample: 1999/02 - 2004/01 (60 observations) Favored empirical rule (6a) 0.64 (0.54) 0.96 (0.93) 0.83 (0.73) Sample: 2004/02 - 2009/12 (71 observations) Naïve "no change" rule (1) 0.00 (0.00) 0.00 (0.00) 0.66 (0.66) Interest rate smoothing rule (2) 0.21 (0.15) 0.42 (0.32) 0.69 (0.68) Backward-looking Taylor rule (3b) 0.44 (0.37) 0.71 (0.64) 0.79 (0.72) Forward-looking Taylor rule (4a) 0.39 (0.33) 0.69 (0.63) 0.68 (0.68) Augmented Taylor rule (5d) 0.66 (0.61) 0.91 (0.88) 0.80 (0.77) Favored empirical rule (6d) 0.88 (0.76) 1.00 (0.97) 0.94 (0.89) Ordered probit's latent equation (forecasting model). P-value of skew t-1 0.005 0.000 0.000 0.000 0.000 0.000 0.684 0.003 0.001 0.006 0.004 0.000. Notes: The ordered probit estimations with Huber(1967)/White(1980) robust standard errors.. ,<9 9GH=A5H=CBG C: %C89@G
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(169) .
(170) JCH=B; F97CF8G 8C 7CBH5=B B9KG :CF H<9 DF=J5H9 G97HCF H<9B H<9 7C9V7=9BH C: ! G<CI@8 69 GH5H=GH=75@@M G=;B=O75BH K<9B 58898 HC H<9 F9;F9GG=CB C: H<9 B9LH DC@=7M 897=G=CB CB H<9 DF=J5H9 G97HCF 9LD97H5H=CB % C JCH=B; F97CF8G 588 =B:CFA5H=CB HC A5F?9H65G98 9LD97H5H=CBG
(171) ! . X 1t X 2t. wibor12m t. wibor12m t. wibor12m t. wibor6m t. r t-1. wibor1m t. wibor3m t. r t-1. wibor6m t wibor1m t. X 3t. ǻ m wibor1m t ǻ m wibor1m t ǻ m wibor3m t ǻ m wibor1m t Sample: 1999/02 - 2004/01 (60 observations). b1. 1.52 (0.32)*** 1.57 (0.45)*** 2.50 (0.69)*** 1.52 (0.36)*** 1.25 (0.30)***. b2. 0.84 (0.39)**. b3. 2.15 (0.68)*** 2.07 (0.69)*** 2.72 (0.74)*** 2.77 (1.00)*** 2.66 (0.76)***. 0.87 (0.40)**. 1.58 (0.48)*** 0.16 (0.34). ǻ m wibor1m t. 0.78 (0.35)**. 2. McFadden McKelvey-Zavoina Hit rate. Goodness-of-fit pseudo-R measures with (without) skew t-1 0.23 (0.18) 0.24 (0.19) 0.31 (0.25) 0.37 (0.32) 0.51 (0.42) 0.53 (0.45) 0.63 (0.54) 0.77 (0.70) 0.68 (0.65) 0.70 (0.60) 0.67 (0.63) 0.73 (0.68) Sample: 2004/02 - 2009/12 (71 observations). 0.28 (0.22) 0.59 (0.50) 0.65 (0.55). b1. 0.88 (0.42)**. b2. 6.69 (1.94)*** 7.28 (1.83)*** 6.30 (1.27)*** 6.94 (1.95)*** 7.56 (1.79)***. b3. 4.81 (2.48)*. 1.00 (0.46)** 5.57 (2.41)**. 2.36 (0.92)** 5.72 (2.72)**. 0.87 (0.52)* 4.32 (2.61)*. 0.99 (0.57)* 4.99 (2.49)**. 2. McFadden McKelvey-Zavoina Hit rate. Goodness-of-fit pseudo-R measures with (without) skew t-1 0.39 (0.37) 0.38 (0.36) 0.41 (0.39) 0.37 (0.35) 0.65 (0.63) 0.65 (0.62) 0.70 (0.67) 0.63 (0.62) 0.69 (0.76) 0.70 (0.76) 0.72 (0.73) 0.70 (0.75). 0.36 (0.34) 0.62 (0.60) 0.73 (0.77). Notes: The ordered probit estimations with Huber(1967)/White(1980) robust standard errors in parantheses. ***/**/* denote significance at 1/5/10 % level, respectively. The cutpoints are estimated, but not reported here. The data on wibor12m t are available since 2002/1 only, the observations before 2002/1 are set to zero. ,56@9 F9DCFHG H<9 9GH=A5H=CBG C: H<9 GD97=O75H=CB
(172) ! K<9F9 =G H<9 GDF958 9=H<9F 69HK99B H<9 @CB;9F 5B8 G<CFH9FH9FA /!'*G CF 69HK99B H<9 @CB;H9FA /!'* 5B8 H<9 DC@=7M F5H9 5B8 =G H<9 7<5B;9 =B 9=H<9F
(173) CF ACBH< /!'* G=B79 H<9 B9LH 85M 5:H9F H<9 @5GH %( A99H=B; ,<9 7C9V7=9BH C: ! =G G=;B=O75BH =B 5@@ GD97=O75H=CBG 5H H<9
(174) @9J9@ =B H<9
(175) T
(176) D9F=C8 5B8 5H H<9 CF
(177) @9J9@ =B H<9 T
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
(179) .
(180) *9IH9FG <5G 7CB8I7H98 =HG DC@@ =B (C@5B8 ACBH<@M G=B79
(181) -D HC 65B? 5B5@MGHG D5FH=7=D5H9 =B H<9 GIFJ9MG ,<9 F9GDCB89BHG DF98=7H H<9 A5>CF 97CBCA=7 5B8 OB5B7=5@ =B8= 75HCFG ,<9G9 :CF975GHG 5F9 K=89@M 7=H98 =B H<9 (C@=G< DF9GG 5G K9@@ 5G =B H<9 &( $2* %$ &%(*) 5B8 %( DF9GG F9@95G9G +=B79 DF=@
(182) H<9 A5F?9H 5B5@MGHG <5J9 5@GC DF98=7H98 H<9 DC@=7M =BH9F9GH F5H9 K=H< GH958=@M ;FCK=B; :CF975GH=B; D9F:CFA5B79 FCA DF=@
(183) H<FCI;< "5BI5FM
(184) 8IF=B; H<9 D9F=C8 C: HF5BG=H=CB HC 5 B9K ACB9H5FM DC@=7M :F5A9KCF? C: H<9 !, H<9 A5F?9H 5B5@MGHG DF98=7H98 7CFF97H@M CB@M H<F99 CIH C: H9B = 9 C: DC@=7M 57H=CBG 5;5=B =B H<9 7CBH9LH C: :CIF DCGG=6@9 DC@=7M 7<C=79G FCA 96FI5FM
(185) H<FCI;< "5BI5FM K<9B H<9 ACB9H5FM DC@=7M 6975A9 ACF9 HF5BGD5F9BH 5B8 F9;I@5F K<=@9 H<9 =BH9F9GH F5H9 =HG9@: @9GG JC@5H=@9 H<9 DF=J5H9 G97HCF @95FB98 5 @CH 56CIH H<9 79BHF5@ 65B? F9 GDCBG9G HC 97CBCA=7 9BJ=FCBA9BH 5B8 A5B5;98 HC 7CFF97H@M DF98=7H C: DC@=7M 897=G=CBG =B5@@M =B H<9 T
(186) D9F=C8 *9IH9FG DC@@GQ <=H F5H9 F957<98 % C JCH=B; F97CF8G 588 =B:CFA5H=CB HC GIFJ9M65G98 5BH=7=D5H=CBG
(187) ! . Sample b1 b2. 1998/04-2004/01 (70 observations) 4.64 (1.17)*** 1.13 (0.57)**. 2004/02-2009/12 (71 observations) 13.00 (2.22)*** 12.03 (2.33)*** 7.96 (2.96)***. b3. 8.51 (3.22)*** 00.44 (0.26) *. 2. McFadden McKelvey-Zavoina Hit rate. Goodness-of-fit pseudo-R measures with (without) skew t-1 0.28 (0.27) 0.60 (0.57) 0.70 (0.69) 0.81 (0.77) 0.77 (0.76) 0.83 (0.86). 0.62 (0.58) 0.83 (0.78) 0.82 (0.87). Notes: The ordered probit estimations with Huber(1967)/White(1980) robust standard errors in parantheses. ***/**/* denote significance at 1/5/10 % level, respectively. The cutpoints are estimated, but not reported here. The values of skew t-1 in the 1998/4-2004/1 period are calculated disregarding the votes of Dabrowski.. ,56@9 F9DCFHG H<9 CF89F98 DFC6=H 9GH=A5H=CBG C: H<9 GD97=O75H=CB
(188) ! K<9F9 =G H<9 5J9F5;9 C: =B8=J=8I5@ :CF975GHG C: H<9 B9LH DC@=7M 897=G=CB :FCA *9IH9FG GIFJ9MG ,<9 7C9V7=9BH C: ! =G G=;B=O75BH 5H H<9 H<9
(189) @9J9@ =B H<9 T
(190) D9F=C8 G99 H<9 G97CB8 7C@IAB ,<9 =B7@IG=CB C: ! F5=G9G %7 58 89BQG 5B8 %7#9@J9M15JC=B5QG DG9I8C G 6M T D9F79BH5;9 DC=BHG 5B8 577CF8=B; HC H<9 $*H9GH H<9 BI@@ <MDCH<9G=G C: H<9 F98IB85B7M C: ! =G F9>97H98 K=H< H<9 DJ5@I9 !B H<9
(191) U
(192) D9F=C8 ! 9AD@CM98 5 G@=;<H@M AC8=O98 J9FG=CB C: ! 75@7I@5H98 5G 56CJ9 6IH 8=GF9;5F8=B; H<9 JCH9G C: CB9 %( A9A69F %5F9? 56FCKG?= ,<9 F95GCB :CF H<=G 9L7@IG=CB =G H<5H 56FCKG?= K5G H<9 ACGH 8=GG9BH=B; A9A69F 5B8 5 7@95F CIH@=9F <9 JCH98 5;5=BGH H<9 58CDH98 F9GC@IH=CB 5H CIH C: A99H=B;G K<9B H<9 JCH=B; HCC? D@579 5B8 5H 9=;<H A99H=B;G K5G H<9 CB@M 8=GG9BH=B; A9A69F G 9LD@5=B98 =B +97H=CB <=G DF9:9FF98 DC@=7M DF9:9F9B79G 5H H<9 56CJ9 A99H=B;G 5F9 BCH F9DCFH98 =B H<9 5J5=@56@9 JCH=B; F97CF8G ,<9 CA=GG=CB C: H<=G CIH@M=B; A9A69F A=;<H F98I79 H<9 BC=G9 =B H<9 A95 GIF9 C: 8=GG9BH 5ACB; H<9 %( A9A69FG G G<CKB =B H<9 OFGH 7C@IAB C: ,56@9 H<9 7C9V7=9BH C: H<9 AC8=O98 J9FG=CB C: ! =G GH5H=GH=75@@M G=;B=O75BH 5H H<9 @9J9@ H<9 DJ5@I9 =G K<9F95G H<9 7C9V7=9BH C: CF=;=B5@ ! <5G DJ5@I9 CK9J9F H<9.
(193) .
(194) =B7@IG=CB C: AC8=O98 ! F5=G9G %7 5889BQG 5B8 %7#9@J9M15JC=B5QG DG9I8C G 6M
(195) D9F79BH5;9 DC=BH CB@M 5B8 H<9 $*H9GH :5=@98 HC F9>97H H<9 BI@@ <MDCH<9G=G C: H<9 F98IB85B7M C: ! K=H< H<9 DJ5@I9 !: =G 5@GC 58898 HC H<9 F9;F9GG=CB :CF H<9 T
(196) G5AD@9 G99 H<9 H<=F8 7C@IAB =B ,56@9 =H =G BCH G=;B=O75BH 5H H<9 @9J9@ 5B8 F98IB85BH K=H< H<9 DJ5@I9
(197) 577CF8=B; HC H<9 $*H9GH K<9F95G ! F9A5=BG G=;B=O75BH 5H H<9
(198) @9J9@ 5B8 H<9 DJ5@I9 C: H<9 $*H9GH =G &C GIFDF=G9 H<9 DC@=7M 6=5G GH5H9A9BH <5G 699B F9@95G98 HC H<9 DI6@=7 =AA98=5H9@M K=H< H<9 DC@=7M 897=G=CB 5B8 =HG =B:CFA5H=CB5@ 7CBH9BH <5G 5@F958M 699B 9A698898 =BHC A5F?9H 5B5@MGHGQ :CF975GHG ,C GIA ID H<9 8=GG9BH=B; JCH9G % 588 GIDD@9A9BH5FM =B:CFA5H=CB GIFJ9M65G98 5BH=7 =D5H=CBG 9GD97=5@@M =B H<9 T
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