TY - JOUR
T1 - Duration analysis of interest rate spells
T2 - Cross-national study of interest rate policy
AU - Guo, Yingwen
AU - Zhou, Sherry Z. F.
PY - 2011/6
Y1 - 2011/6
N2 - 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. © Hitotsubashi University.
AB - 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. © Hitotsubashi University.
KW - Duration analysis
KW - Interest rate spells
KW - Nonparametric models
KW - Parametric models
KW - Taylor rule
UR - http://www.scopus.com/inward/record.url?scp=84863699729&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84863699729&origin=recordpage
M3 - RGC 21 - Publication in refereed journal
SN - 0018-280X
VL - 52
SP - 1
EP - 11
JO - Hitotsubashi Journal of Economics
JF - Hitotsubashi Journal of Economics
IS - 1
ER -