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Estimated Interest Rate Rules: Do they Determine Determinacy Properties?

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  • Jensen Henrik

    (University of Copenhagen)

Abstract

I demonstrate that econometric estimations of nominal interest rate rules may tell little, if anything, about an economy's determinacy properties. In particular, correct inference about the interest-rate response to inflation provides no information about determinacy. Instead, it could reveal whether optimal monetary policymaking is performed under discretion or commitment.

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  • Jensen Henrik, 2011. "Estimated Interest Rate Rules: Do they Determine Determinacy Properties?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-22, May.
    • Handle: RePEc:bpj:bejmac:v:11:y:2011:i:1:n:11
    DOI: 10.2202/1935-1690.2246
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    Cited by:

    1. Pelin Ilbas & Øistein Røisland & Tommy Sveen, 2013. "The influence of the Taylor rule on US monetary policy," Working Paper 2013/04, Norges Bank.
    2. Chatelain, Jean-Bernard & Ralf, Kirsten, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," EconStor Preprints 95979, ZBW - Leibniz Information Centre for Economics.
    3. Jensen, Henrik & ,, 2010. "What Drives the European Central Bank's Interest-Rate Changes?," CEPR Discussion Papers 8160, C.E.P.R. Discussion Papers.
    4. Ravn Søren Hove, 2012. "Has the Fed Reacted Asymmetrically to Stock Prices?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-36, June.
    5. Ragna Alstadheim & Øistein Røisland, 2017. "When Preferences for a Stable Interest Rate Become Self‐Defeating," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 393-415, March.
    6. Nicholas Apergis & James E. Payne, 2018. "Monetary policy rules and the equity risk premium: Evidence from the US experience," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 287-299, October.
    7. Kim, Minseong, 2024. "What really are the flexible-price limits of a New Keynesian model in the infinitely many firms limit?," OSF Preprints fvc9x, Center for Open Science.
    8. Blake, Andrew P., 2012. "Determining optimal monetary speed limits," Economics Letters, Elsevier, vol. 116(2), pages 269-271.

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    More about this item

    Keywords

    monetary policy; interest rate rules; Taylor rules; equilibrium determinacy; discretion versus rules;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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