Time Horizons and Smoothing in the Bank of England's Reaction Function: The Contrast Between the Standard GMM andEx AnteForecast Approaches
用标准GMM和事前预测法估计英格兰银行货币政策反应函数，发现事前法更符合其传导机制，而GMM法存在利率调整过慢和弱工具变量问题。
Abstract The monetary policy reaction function of the Bank of England is estimated by the standard GMM approach and the ex ante forecast method developed by Goodhart (2005) , with particular attention to the horizons for inflation and output at which each approach gives the best fit. The horizons for the ex ante approach are much closer to what is implied by the Bank's view of the transmission mechanism, while the GMM approach produces an implausibly slow adjustment of the interest rate, and suffers from a weak instruments problem. These findings suggest a strong preference for the ex ante approach.