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Using an evolving criterion to assess the Federal Reserve's behaviour in recent years

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  • Davide Ferrari

    ()
    (University of Minnesota, School of Statistics, Minneapolis {USA))

  • Antonio Ribba

    ()
    (UniversitĂ  degli Studi di Modena e Reggio Emilia, Dipartimento di Economia Politica, Modena (Italy))

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    Abstract

    The aim of this paper is to analyse the behaviour of the Federal Reserve in the Greenspan era by using recently developed neuro-fuzzy techniques. Such models require the operation assumptions concerning the conduct of monetary policy to be set in the form of flexible rules. Moreover, the approach allows an adaptive model to be built, thus pointing out the role played by the evolution of the monetary policy decision mechanism. Besides the usual set of macro-economic variables, the input data set includes a stock market indicator. Our results show that the simulated series offederal funds rate mimics almost perfectly the actual behaviour of the monetary policy instrument.

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    File URL: http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9859/9741
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    Bibliographic Info

    Article provided by Banca Nazionale del Lavoro in its journal BNL Quarterly Review.

    Volume (Year): 58 (2005)
    Issue (Month): 235 ()
    Pages: 169-186

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    Handle: RePEc:psl:bnlaqr:2005:32

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    Related research

    Keywords: Monetary Policy; Monetary; Policy;

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    1. Athanasios Orphanides, 2001. "Monetary Policy Rules Based on Real-Time Data," American Economic Review, American Economic Association, vol. 91(4), pages 964-985, September.
    2. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1997. "Monetary policy shocks: what have we learned and to what end?," Working Paper Series, Macroeconomic Issues WP-97-18, Federal Reserve Bank of Chicago.
    3. Clarida, Richard & GalĂ­, Jordi & Gertler, Mark, 1997. "Monetary Policy Rules in Practice: Some International Evidence," CEPR Discussion Papers 1750, C.E.P.R. Discussion Papers.
    4. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
    5. Roberto Rigobon & Brian Sack, 2001. "Measuring the Reaction of Monetary Policy to the Stock Market," NBER Working Papers 8350, National Bureau of Economic Research, Inc.
    6. Douglas Staiger & James H. Stock & Mark W. Watson, 1997. "The NAIRU, Unemployment and Monetary Policy," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 33-49, Winter.
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