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On the informational role of term structure in the U.S. monetary policy rule

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  • Jesús Vázquez

    ()
    (Universidad del País Vasco)

  • Ramón María-Dolores

    ()
    (Universidad de Murcia)

  • Juan-Miguel Londoño

    ()
    (Universidad del País Vasco)

Abstract

The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread becomes a significant determinant of the U.S. estimated monetary policy rule when revised and real-time data of output and inflation are both considered.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/09/Fic/dt0919e.pdf
File Function: First version, September 2009
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0919.

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Length: 48 pages
Date of creation: Sep 2009
Date of revision:
Handle: RePEc:bde:wpaper:0919

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Keywords: NKM model; term structure; monetary policy rule; indirect inference; real-time and revised data;

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