Smant, David / D.J.C. (2010): Real time data, regime shifts, and a simple but effective estimated Fed policy rule, 1969-2009.
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Estimates of Taylor rule equations for Federal Reserve policy over periods before the Greenspan period are misleading. Until 1979 Fed policy changed the real funds rate in response to the output gap, with no response to an inflation target. During the Volcker period the policy rule kept the real funds rate at a high but constant level, with no response to the output gap. Taking into account the regime shifts, a simple but effective funds rate equation can be estimated using only inflation and output gap.
|Item Type:||MPRA Paper|
|Original Title:||Real time data, regime shifts, and a simple but effective estimated Fed policy rule, 1969-2009|
|Keywords:||Taylor rule; policy regime shifts; real time data|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects
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:||David / D.J.C. Smant|
|Date Deposited:||23. Oct 2010 00:26|
|Last Modified:||12. Feb 2013 22:40|
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