Smant, David / D.J.C. (2011): Real time data, regime shifts, and a simple but effective estimated Fed policy rule, 1969-2009.
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This paper re-examines the use of estimated Taylor rule equations as a standard long run description of Federal Reserve policy. The empirical results suggest that 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. These regime shifts affect the descriptive performance of the basic Taylor rule equation and any further analysis that is based on it. Taking into account the regime shifts and real time data, a simple but effective federal funds rate equation can be estimated using only inflation and the 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:||15. Mar 2011 10:09|
|Last Modified:||01. Jan 2016 15:00|
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Real time data, regime shifts, and a simple but effective estimated Fed policy rule, 1969-2009. (deposited 23. Oct 2010 00:26)
- Real time data, regime shifts, and a simple but effective estimated Fed policy rule, 1969-2009. (deposited 15. Mar 2011 10:09) [Currently Displayed]