0433679 20240103204854.320141106235959.9 000338417600005 10.1017/S1365100512000545 38 s. P cav_un_epca*02557741365-1005183 (2014)593-630Cambridge University Press Inflation Targeting Time-Varying Parameter Model Endogenous Regressors cav_un_auth*0274257 Horváth Roman Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0231592 Baxa Jaromír Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0257114 Vašíček B. CZ http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=9205115&fulltextType=RA&fileId=S1365100512000545 GBP402/12/G097 GA ČR CZ cav_un_auth*0281000 In this paper, we examine the evolution of monetary policy rules in a group of inflation targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) applying moment estimator at time-varying parameter model with endogenous regressors. This methodology has several important advantages for estimation of policy rules. In particular, unlike the Markovswitching methods, it models the policy as gradually evolving rather than imposing its sudden switches from (one regime to another). It also deals with the issue of endogeneity in policy rules and delivers superior statistical properties in small samples than the traditional Kalman filtering. Our main findings are threefold. First, monetary policy changes gradually pointing to the importance of applying time-varying estimation framework. Second, the interest rate smoothing parameter is much lower that what previous time-invariant estimates of policy rules typically report. 2015 AH RVO:67985556 http://hdl.handle.net/11104/0238372 S ECONOMICS 0.736 1.199 Q1 46.132 39.189 Q3 Q2 2014 000338417600005 WOS cav_un_epca*0255774 Macroeconomic Dynamics 1365-1005 1469-8056 Roč. 18 č. 3 2014 593 630 Cambridge University Press