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This paper extends the asymmetric preference model suggested by Ruge-Murcia (2003a) to investigate the use of real-time data which roughly measure the type of data available to policy makers when making their decisions and revised data which more accurately measure economic performance (Croushore, 2011). In our extended model, the central banker mo...
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Context 1
... a test of the (un)importance of in ‡ation revisions (i.e. Table 4 shows the estimation results of the two univariate models of in ‡ation (16) and (17) Table 4, shows an F -statistic of 2.387 for the US using the univariate model (16), which is lower than the 10% critical value of 6.404, implying that the null hypothesis of symmetry cannot be rejected. However, an F -statistic of 8.509 using the conditional variance of output as a regressor in the model (17), which is larger than the 5% critical value of 7.959, indicates that the threshold model clearly …ts better than the linear model. ...Context 2
... a test of the (un)importance of in ‡ation revisions (i.e. Table 4 shows the estimation results of the two univariate models of in ‡ation (16) and (17) Table 4, shows an F -statistic of 2.387 for the US using the univariate model (16), which is lower than the 10% critical value of 6.404, implying that the null hypothesis of symmetry cannot be rejected. However, an F -statistic of 8.509 using the conditional variance of output as a regressor in the model (17), which is larger than the 5% critical value of 7.959, indicates that the threshold model clearly …ts better than the linear model. ...Context 3
... test of the hypothesis positing the absence of in ‡ation bias due to in ‡ation data revisions: g = b = 1, as indicated by the row labeled F -statistic: Table 4, shows that this null hypothesis cannot be rejected at any standard signi…cance level for the US using the univariate model (16). However, an F -statistic of 5.096 using the conditional variance of output as a regressor in the model (17), which is larger than the 5% critical value of 4.899, suggests the presence of in ‡ation bias due to in ‡ation data revisions. ...Similar publications
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This paper seeks to check the existence of possible nonlinearity in the behavior of the Central Bank of Tunisia (CBT) in response to changes in macroeconomic variables over 2000:1-2018:12 period (pre-and post-2011 revolution). We used a general model with asymmetric loss function, which enables Central Bankers to weight differently positive and negative deviations of inflation and output from their reference values, as well as a nonlinear economic structure. The empirical analysis reveals that in the pre-revolutionary period, the CBT, for the sake of financial stability approved asymmetric preferences only toward the inflation rate in the sense that it reduces interest rate by a larger amount when inflation is expected to be below the target than the amount it will increase it when it is expected to be above target. During the post-revolutionary period, which was marked by a severe economic recession, the CBT also showed asymmetric preferences toward the output stabilization as it reacted more vigorously to recession. Nevertheless, for a sufficiently large inflation pressure strengthened by the nonlinear economic structure, the CBT is obliged to enhance sharply the political instrument and to carry out a strict restrictive monetary policy.