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Modelling the duration of interest rate spells under inflation targeting in Canada

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  • R. Shih
  • D. E. Giles

Abstract

We use survival models to analyse the duration of the spells associated with the interest rate used by the Bank of Canada as its monetary policy instrument. Both nonparametric and parametric models are estimated, allowing for right-censoring of the data, and time-varying covariates. We find that the data are explained well by an accelerated failure time Weibull model, with the annual rate of inflation and the quarterly rate of growth in Gross domestic product (GDP) as covariates. The model indicates that there is positive duration dependence in the interest rate spells, and that unemployment and exchange rate effects are insignificant.

Suggested Citation

  • R. Shih & D. E. Giles, 2009. "Modelling the duration of interest rate spells under inflation targeting in Canada," Applied Economics, Taylor & Francis Journals, vol. 41(10), pages 1229-1239.
    • Handle: RePEc:taf:applec:v:41:y:2009:i:10:p:1229-1239
    DOI: 10.1080/00036840701721232
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    Cited by:

    1. Creel, Jérôme & Hubert, Paul, 2015. "Has Inflation Targeting Changed The Conduct Of Monetary Policy?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(1), pages 1-21, January.
    2. Creel, Jérôme & Hubert, Paul, 2015. "Has Inflation Targeting Changed The Conduct Of Monetary Policy?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(1), pages 1-21, January.
    3. Onkar Shivraj Swami & B. Nethaji & Jyoti Prakash Sharma, 2018. "Facebook Adoption in Indian Banks: An Empirical Investigation," Vision, , vol. 22(4), pages 356-364, December.
    4. Yang Ni & Shasha Guo & David Giles, 2010. "Capital structures in an emerging market: a duration analysis of the time interval between IPO and SEO in China," Applied Financial Economics, Taylor & Francis Journals, vol. 20(19), pages 1531-1545.
    5. 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.

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