Estimating monetary reaction functions at near zero interest rates

Tae Hwan Kim, Paul Mizen

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

The importance of truncated distributions for bias in estimation is demonstrated for a Japanese policy reaction function. Due to the proximity of a zero lower bound (ZLB) on interest rates, coefficient estimates can be biased upwards. This paper illustrates the importance of measuring and correcting estimates for this bias using Japan's unique experience of prolonged low inflation/deflation.

Original languageEnglish
Pages (from-to)57-60
Number of pages4
JournalEconomics Letters
Volume106
Issue number1
DOIs
Publication statusPublished - 2010 Jan 1

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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