Measuring the Monetary Policy’s Structural Credibility by the Expected Inflation Determinants: a Kalman Filter Approach for Brazil
نویسندگان
چکیده
منابع مشابه
Monetary policy’s structural credibility and the role of the expected inflation: a Kalman filter investigation
This work proposes an alternative method for measuring monetary policy’s structural credibility under inflation targeting regimes by the main determinants of the expected inflation, and using a Kalman approach. It shows that such a method does not present some restrictions found in the existing credibility indexes, such as in Cecchetti and Krause (2002). It applies the new model and approach on...
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Structural system identification using recursive methods has been a research direction of increasing interest in recent decades. The two prominent methods, including the Extended Kalman Filter (EKF) and the Particle Filter (PF), also known as the Sequential Monte Carlo (SMC), are advantageous in this field. In this study, the system identification of a shake table test of a 4-story steel struct...
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هدف اصلی از این تحقیق به دست آوردن و مقایسه حق بیمه باورمندی در مدل های شمارشی گزارش نشده برای داده های طولی می باشد. در این تحقیق حق بیمه های پبش گویی بر اساس توابع ضرر مربع خطا و نمایی محاسبه شده و با هم مقایسه می شود. تمایل به گرفتن پاداش و جایزه یکی از دلایل مهم برای گزارش ندادن تصادفات می باشد و افراد برای استفاده از تخفیف اغلب از گزارش تصادفات با هزینه پائین خودداری می کنند، در این تحقیق ...
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ژورنال
عنوان ژورنال: Brazilian Review of Econometrics
سال: 2016
ISSN: 1980-2447
DOI: 10.12660/bre.v99n992016.57454