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The Evolution of the Fed's Inflation Target in an Estimated Model under RE and Learning

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Author Info

  • Fabio Milani

    ()
    (Department of Economics, University of California-Irvine)

Abstract

This paper aims to infer the evolving Fed's inflation target by estimating a monetary model under the assumptions of RE and learning. The results emphasize how different assumptions about expectations may have important effects on the inferred target movements.

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File URL: http://www.economics.uci.edu//files/economics/docs/workingpapers/2006-07/Milani-04.pdf
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Bibliographic Info

Paper provided by University of California-Irvine, Department of Economics in its series Working Papers with number 060704.

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Length: 11 pages
Date of creation: Sep 2006
Date of revision:
Handle: RePEc:irv:wpaper:060704

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Postal: Irvine, CA 92697-3125
Phone: (949) 824-5788
Web page: http://www.economics.uci.edu/
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Related research

Keywords: Time-varying inflation target; Learning; Expectations; Bayesian estimation;

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References

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  1. Surico, Paolo, 2003. "Measuring the time-inconsistency of US monetary policy," Working Paper Series, European Central Bank 0291, European Central Bank.
  2. Fabio Milani, 2005. "Adaptive Learning and Inflation Persistence," Working Papers, University of California-Irvine, Department of Economics 050607, University of California-Irvine, Department of Economics.
  3. Wiliam Branch & George W. Evans, 2005. "A Simple Recursive Forecasting Model," University of Oregon Economics Department Working Papers, University of Oregon Economics Department 2005-3, University of Oregon Economics Department, revised 01 Feb 2005.
  4. Milani, Fabio, 2008. "Learning, monetary policy rules, and macroeconomic stability," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(10), pages 3148-3165, October.
  5. Peter N. Ireland, 2006. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences," NBER Working Papers 12492, National Bureau of Economic Research, Inc.
  6. Thomas Sargent & Noah Williams & Tao Zha, 2006. "The conquest of South American inflation," Working Paper, Federal Reserve Bank of Atlanta 2006-20, Federal Reserve Bank of Atlanta.
  7. Fabio Milani, 2006. "A Bayesian DSGE Model with Infinite-Horizon Learning: Do "Mechanical" Sources of Persistence Become Superfluous?," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 2(3), September.
  8. Milani, Fabio, 2007. "Expectations, learning and macroeconomic persistence," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(7), pages 2065-2082, October.
  9. Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy:An Application to U.S. Monetary Policy," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 480, The Johns Hopkins University,Department of Economics, revised Jun 2003.
  10. Richard Dennis, 2002. "Inferring policy objectives from policy actions," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue apr5.
  11. Daniel Leigh, 2005. "Estimating the Implicit Inflation Target," IMF Working Papers, International Monetary Fund 05/77, International Monetary Fund.
  12. Anatoliy Belaygorod & Michael J. Dueker, 2005. "Discrete monetary policy changes and changing inflation targets in estimated dynamic stochastic general equilibrium models," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Nov, pages 719-34.
  13. Giorgio Primiceri, 2005. "Why Inflation Rose and Fell: Policymakers' Beliefs and US Postwar Stabilization Policy," NBER Working Papers 11147, National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper, Federal Reserve Bank of Kansas City RWP 07-10, Federal Reserve Bank of Kansas City.
  2. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper, Federal Reserve Bank of Kansas City RWP 08-05, Federal Reserve Bank of Kansas City.
  3. Hagedorn, Marcus, 2011. "Optimal disinflation in new Keynesian models," Journal of Monetary Economics, Elsevier, Elsevier, vol. 58(3), pages 248-261.

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