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On the informational role of term structure in the US monetary policy rule

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  • María-Dolores, Ramon
  • Vázquez, Jesús
  • Londoño, Juan M.

    (Departamentos y Servicios::Departamentos de la UMU::Fundamentos del Análisis Económico)

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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Bibliographic Info

Paper provided by DIGITUM. Universidad de Murcia in its series UMUFAE Economics Working Papers with number 4699.

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Length: 40
Date of creation: Jun 2009
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Handle: RePEc:mur:wpaper:4699

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

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