Reakční funkce Evropské centrální banky

Abstract

The forecast-based reaction function of the European Central Bank (ECB) is estimated in this paper and the change in the monetary policy regime is discussed in the context of the current economic crisis. ECB/Eurosystem staff projections database is utilized in order to estimate the rule. The advantage of using this database is demonstrated by comparing the results of econometric estimation utilizing these data on projections with the results obtained by popular method of using future values as proxies for expectations. This popular method is shown to be inadequate in this paper not only by econometric verification of alternative forms of the estimated reaction function. Its inadequacy is demonstrated also by analyzing statistical properties of the time series and by showing that standard econometric assumptions do not hold when using future values as proxies for expectations. It is further shown that current values are more suitable proxies for expectations than values actually observed in the future. This fact provides an answer to the question analyzed recently by Arlt, Mandel (2012), (2014) who investigated how is it possible that simple backward-looking rules perform extremely well when describing forward-looking behavior of central banks.