Shifts in the interest-rate response to money announcements: What can we say about when they occur?

Journal of Business and Economic Statistics

Volumn 14, Issue 1, 1996, Pages 135-138

  Roley, V Vance ^a   Wheatley, Simon M ^b  

^a UNIVERSITY OF WASHINGTON   (United States)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Interest rates; Money announcements; Multiprocess mixture model; Simulations

Indexed keywords

EID: 0039337735     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1996.10524639     Document Type: Article

References (8)

1. Gamble, J. A., and LeSage, J. P. (1993), “A Monte-Carlo Comparison of Time Varying Parameter and Multiprocess Mixture Models in the Presence of Structural Shifts and Outliers,” Review of Economics and Statistics, 75, 515-519.
2. Gavin, W. T., and Karamouzis, N. V. (1984), “Monetary Policy and Real Interest Rates: New Evidence From Money Stock Announcements,” Working Paper 8406, Federal Reserve Bank of Cleveland.
3. Gordon, K., and Smith, A. F. M. (1988), “Modeling and Monitoring Discontinuous Changes in Time Series,” in Bayesian Analysis of Time Series and Dynamic Models, ed. J. C. Spall, New York: Marcel Dekker, pp. 359-391.
4. Krämer, W., Ploberger, W., and Alt, R. (1988), “Testing for Structural Change in Dynamic Models,” Econometrica, 56, 1355-1369.
5. LeSage, J. P. (1992), “A Comparison of Time-Varying Parameter and Multiprocess Mixture Models in the Case of Money-Supply Announcements,” Journal of Business & Economic Statistics, 10, 201-211.
6. LeSage, J. P. (1996), “Correction,” Journal of Business & Economic Statistics, 14, 133.
7. Roley, V. V. (1983), “The Response of Short-term Interest Rates to Weekly Money Announcements,” Journal of Money, Credit, and Banking, 15, 344-354.
8. West, M. (1982), “Aspects of Recursive Bayesian Estimation,” unpublished Ph.D. thesis, University of Nottingham.