Dynamics of the federal funds target rate: a nonstationary discrete choice approach
用离散选择模型分析美联储调整联邦基金目标利率的行为，允许解释变量非平稳，成功预测了1994-2001年间大部分利率变动，并发现美联储对经济冲击的反应存在滞后。
Abstract We apply a discrete choice approach to model the empirical behaviour of the Federal Reserve in changing the federal funds target rate, the benchmark of short‐term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature is particularly useful in the present application as many economic fundamentals that are monitored by the Fed and are believed to affect decisions to adjust interest rate targets display some nonstationarity over time. The chosen model successfully predicts the majority of the target rate changes during the time period considered (1994–2001) and helps to explain strings of similar intervention decisions by the Fed. Based on the model‐implied optimal interest rate, our findings suggest that there is a lag in the Fed's reaction to economic shocks during this period. Copyright © 2004 John Wiley & Sons, Ltd.