Master thesis in statistics spring 2024
Abstract: This study applies a newly developed nonparametric test based on a cross-fitted nonparametric estimator of an integral of the causal dose-response curve, to determine if there is an average causal effect for different lags of the policy rates, which are the interest rates set by central banks as part of monetary policy, on inflation. Furthermore, nonparametric regression is used to estimate the density between policy rates and inflation to provide insight into the potential shape of the causal-dose-response curve. In this study, both Swedish and US data are analyzed. The results indicate a causal effect of policy rates after 2-4 months for the Swedish data and 2-5 months for the US data. However, the nonparametric regressions are not able to capture any kind of relationship as the estimated density curves are flat.