On the informational role of term structure in the US monetary policy rule
AbstractThe 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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Bibliographic InfoPaper provided by DIGITUM. Universidad de Murcia in its series UMUFAE Economics Working Papers with number 4699.
Date of creation: Jun 2009
Date of revision:
NKM model; term structure; Indirect Inference; real-time and revised data; monetary policy rule;
Other versions of this item:
- Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan-Miguel, 2013. "On the informational role of term structure in the US monetary policy rule," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1852-1871.
- Jesús Vázquez & Ramón María-Dolores & Juan-Miguel Londoño, 2009. "On the informational role of term structure in the U.S. monetary policy rule," Banco de Espaï¿½a Working Papers 0919, Banco de Espa�a.
- Vázquez Pérez, Jesús & María-Dolores, Ramón & Londoño, Juan Miguel, 2010. "On the Informational Role of Term Structure in the U.S. Monetary Policy Rule," DFAEII Working Papers 2010-01, University of the Basque Country - Department of Foundations of Economic Analysis II.
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- R23 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Regional Migration; Regional Labor Markets; Population
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-19 (All new papers)
- NEP-CBA-2009-09-19 (Central Banking)
- NEP-MAC-2009-09-19 (Macroeconomics)
- NEP-MON-2009-09-19 (Monetary Economics)
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