This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
US Monetary Police 1988-2004: An Empirical Analysis Author info | Abstract | Publisher info | Download info | Related research | Statistics Anders Møller Christensen (Danmarks Nationalbank)
Heino Bohn Nielsen (Institute of Economics, University of Copenhagen)
Relationships between the Federal funds rate, unemployment, inflation, and the long-term government-bond rate are investigated with cointegration techniques. We find a stable long-term relationship between the Federal funds rate, unemployment, and the bond rate. This relationship is interpretable as a policy target because deviations are corrected primarily via the Federal funds rate. A traditional Taylor-type rule is clearly rejected by the data. Inflation does thus only influence the instrument indirectly via the bond rate, but we find that inflation is controllable with the Federal funds rate. The results are in accordance with recent developments in monetary theory stressing management of expectations as an important transmission channel.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by University of Copenhagen. Department of Economics. Finance Research Unit in its series FRU Working Papers with number
2005/01.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 18 pages
Date of creation: Feb 2005Date of revision:
Handle: RePEc:kud:kuiefr:200501Contact details of provider: Postal: Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark Phone: (+45) 35 32 26 26 Fax: +45 35 32 30 00 Web page: http://www.econ.ku.dk/FRU/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Henriette Aabo Hansen).
Keywords: cointegration ; equilibrium correction ; monetary policy ; Taylor rule ; Bond rate ; Other versions of this item:
Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Arturo Estrella & Frederic S. Mishkin, 1996.
"The yield curve as a predictor of U.S. recessions ,"
Current Issues in Economics and Finance ,
Federal Reserve Bank of New York, issue Jun.
[Downloadable!]
Marvin Goodfriend, 1998.
"Using the term structure of interest rates for monetary policy ,"
Economic Quarterly ,
Federal Reserve Bank of Richmond, issue Sum, pages 13-30.
[Downloadable!]
Peter Hordahl & Oreste Tristani & David Vestin, 2004.
"A joint econometric model of macroeconomic and term structure dynamics ,"
Money Macro and Finance (MMF) Research Group Conference 2003
48, Money Macro and Finance Research Group.
[Downloadable!]
Other versions:
Peter Hoerdahl & Oreste Tristani, 2004.
"A joint econometric model of macroeconomic and term structure dynamics ,"
Econometric Society 2004 North American Summer Meetings
379, Econometric Society.
[Downloadable!] Peter Hördahl & Oreste Tristani & David Vestin, 2004.
"A joint econometric model of macroeconomic and term structure dynamics ,"
Working Paper Series
405, European Central Bank.
[Downloadable!] Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006.
"A joint econometric model of macroeconomic and term-structure dynamics ,"
Journal of Econometrics ,
Elsevier, vol. 131(1-2), pages 405-444.
[Downloadable!] (restricted) Andrew Ang & Sen Dong & Monika Piazzesi, 2005.
"No-arbitrage Taylor rules ,"
Proceedings ,
Federal Reserve Bank of San Francisco.
[Downloadable!]
Other versions: Estrella, Arturo & Hardouvelis, Gikas A, 1991.
" The Term Structure as a Predictor of Real Economic Activity ,"
Journal of Finance ,
American Finance Association, vol. 46(2), pages 555-76, June.
[Downloadable!] (restricted)
Other versions: Laurence Ball & Robert Tchaidze, 2002.
"The Fed and the New Economy ,"
NBER Working Papers
8785, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Laurence Ball & Robert R Tchaidze, 2001.
"The Fed and the New Economy ,"
Economics Working Paper Archive
465, The Johns Hopkins University,Department of Economics.
[Downloadable!] Laurence Ball & Robert R. Tchaidze, 2002.
"The Fed and the New Economy ,"
Working Papers
102002, Hong Kong Institute for Monetary Research.
[Downloadable!] Laurence Ball & Robert R. Tchaidze, 2002.
"The Fed and the New Economy ,"
American Economic Review ,
American Economic Association, vol. 92(2), pages 108-114, May.
[Downloadable!] Peter N. Ireland, 2003.
"Irrational expectations and econometric practice: discussion of Orphanides and Williams, "Inflation scares and forecast-based monetary policy" ,"
Working Paper
2003-22, Federal Reserve Bank of Atlanta.
[Downloadable!]
Frederic S. Mishkin, 1990.
"What Does the Term Structure Tell Us About Future Inflation? ,"
NBER Working Papers
2626, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Mishkin, F.S., 1988.
"What Does The Term Structure Tell Us About Future Inflation? ,"
Papers
fb-_88-29, Columbia - Graduate School of Business.
Mishkin, Frederic S., 1990.
"What does the term structure tell us about future inflation? ,"
Journal of Monetary Economics ,
Elsevier, vol. 25(1), pages 77-95, January.
[Downloadable!] (restricted) Kevin Carey, 2001.
"Testing for Stabilizing Monetary Policy Rules: How Robust to Alternative Specifications? ,"
The B.E. Journal of Macroeconomics ,
Berkeley Electronic Press, vol. 0(1).
[Downloadable!]
Henrik Hansen & Søren Johansen, 1999.
"Some tests for parameter constancy in cointegrated VAR-models ,"
Econometrics Journal ,
Royal Economic Society, vol. 2(2), pages 306-333.
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.
[Downloadable!] (restricted)
Lars E. O. Svensson, 2003.
"What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules ,"
Journal of Economic Literature ,
American Economic Association, vol. 41(2), pages 426-477, June.
Other versions: Soren Johansen & Katarina Juselius, 2001.
"Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data ,"
Discussion Papers
01-03, University of Copenhagen. Department of Economics.
[Downloadable!]
Other versions: Heino Bohn Nielsen, 2004.
"UK Money Demand 1873-2001: A Cointegrated VAR Analysis with Additive Data Corrections ,"
Discussion Papers
04-21, University of Copenhagen. Department of Economics.
[Downloadable!]
Monika Piazzesi, 2005.
"Bond Yields and the Federal Reserve ,"
Journal of Political Economy ,
University of Chicago Press, vol. 113(2), pages 311-344, April.
Hardouvelis, Gikas A., 1994.
"The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? ,"
Journal of Monetary Economics ,
Elsevier, vol. 33(2), pages 255-283, April.
[Downloadable!] (restricted)
Goodfriend, Marvin, 1991.
"Interest rates and the conduct of monetary policy ,"
Carnegie-Rochester Conference Series on Public Policy ,
Elsevier, vol. 34(1), pages 7-30, January.
[Downloadable!] (restricted)
Other versions: Johansen, Soren, 1991.
"Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models ,"
Econometrica ,
Econometric Society, vol. 59(6), pages 1551-80, November.
[Downloadable!] (restricted)
Donald L. Kohn & Brian P. Sack, 2003.
"Central bank talk: does it matter and why? ,"
Finance and Economics Discussion Series
2003-55, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Clarida, Richard & Gali, Jordi & Gertler, Mark, 1998.
"Monetary policy rules in practice Some international evidence ,"
European Economic Review ,
Elsevier, vol. 42(6), pages 1033-1067, June.
[Downloadable!] (restricted)
Other versions:
Richard Clarida & Jordi Gali & Mark Gertler, 1997.
"Monetary Policy Rules in Practice: Some International Evidence ,"
NBER Working Papers
6254, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Clarida, Richard & Gali, Jordi & Gertler, Mark, 1997.
"Monetary Policy Rules in Practice: Some International Evidence ,"
Working Papers
97-32, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] Clarida, Richard & Galí, Jordi & Gertler, Mark, 1997.
"Monetary Policy Rules in Practice: Some International Evidence ,"
CEPR Discussion Papers
1750, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Mehra, Yash P., 2001.
"The bond rate and estimated monetary policy rules ,"
Journal of Economics and Business ,
Elsevier, vol. 53(4), pages 345-358.
[Downloadable!] (restricted)
Bernanke, Ben S & Blinder, Alan S, 1992.
"The Federal Funds Rate and the Channels of Monetary Transmission ,"
American Economic Review ,
American Economic Association, vol. 82(4), pages 901-21, September.
[Downloadable!] (restricted)
Other versions: John P. Judd & Glenn D. Rudebusch, 1998.
"Taylor's rule and the Fed, 1970-1997 ,"
Economic Review ,
Federal Reserve Bank of San Francisco, pages 3-16.
[Downloadable!]
Full
references
Access and
download statistics Did you know? Citation analysis on IDEAS includes online papers that are freely accessible and whose text could be automatically analyzed, currently about 210000 papers.
This page was last updated on 2009-11-30.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .