Mandler, Martin (2007): The Taylor rule and interest rate uncertainty in the U.S. 1970-2006.
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This paper shows how to estimate forecast uncertainty about future short-term interest rates by combining a time-varying Taylor rule with an unobserved components model of economic fundamentals. Using this model I separate interest rate uncertainty into economically meaningful components that represent uncertainty about future economic conditions and uncertainty about future monetary policy. Results from estimating the model on U.S. data suggest important changes in uncertainty about future short-term interest rates over time and highlight the relative importance of the different elements which underlie interest rate uncertainty for the U.S.
|Item Type:||MPRA Paper|
|Institution:||University of Giessen|
|Original Title:||The Taylor rule and interest rate uncertainty in the U.S. 1970-2006|
|Keywords:||Monetary policy, reaction functions, state-space models, output-gap forecasts, inflation forecasts|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies
|Depositing User:||Martin Mandler|
|Date Deposited:||20. Nov 2009 14:24|
|Last Modified:||13. Feb 2013 05:02|
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Available Versions of this Item
The Taylor rule and interest rate uncertainty in the U.S. 1955-2006. (deposited 22. Mar 2007)
- The Taylor rule and interest rate uncertainty in the U.S. 1970-2006. (deposited 20. Nov 2009 14:24) [Currently Displayed]