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Duration Analysis of Interest Rate Spells : Cross-National Study of Interest Rate Policy

Author

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  • Guo, Yingwen
  • Zhou Z.F., Sherry

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.

Suggested Citation

  • Guo, Yingwen & Zhou Z.F., Sherry, 2011. "Duration Analysis of Interest Rate Spells : Cross-National Study of Interest Rate Policy," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 52(1), pages 1-11, June.
    • Handle: RePEc:hit:hitjec:v:52:y:2011:i:1:p:1-11
    DOI: 10.15057/19214
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    References listed on IDEAS

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    More about this item

    Keywords

    Duration Analysis; Taylor Rule; Parametric Models; Nonparametric Models;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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