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Inference Using Qualitative and Quantitative Information with an Application to Monetary Policy

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  • Jefferson, Philip N

Abstract

The author proposes a framework for drawing inferences about an unobserved variable using qualitative and quantitative information. Using this framework, he studies the timing and persistence of monetary policy regimes and computes probabilistic measures of the qualitative indicator's reliability. These estimates suggest that it is over one and one-half times more likely that monetary policy is not restrictive at any point in time; John Boschen and Leonard Mills's {1995} policy index is a reliable indicator of the stance of monetary policy; and certain qualitative indicators of monetary policy improve interest rate forecasts that are based on linear forecasting models. Copyright 1998 by Oxford University Press.

Suggested Citation

  • Jefferson, Philip N, 1998. "Inference Using Qualitative and Quantitative Information with an Application to Monetary Policy," Economic Inquiry, Western Economic Association International, vol. 36(1), pages 108-119, January.
    • Handle: RePEc:oup:ecinqu:v:36:y:1998:i:1:p:108-19
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    Cited by:

    1. Yifei Lyu & Eul Noh, 2022. "Cyclical variation in US government spending multipliers," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 831-846, April.
    2. Davig, Troy & Hall, Aaron Smalter, 2019. "Recession forecasting using Bayesian classification," International Journal of Forecasting, Elsevier, vol. 35(3), pages 848-867.
    3. Rongrong Sun, 2018. "A Narrative indicator of Monetary Conditions in China," International Journal of Central Banking, International Journal of Central Banking, vol. 14(4), pages 1-42, September.
    4. Troy Davig & Aaron Smalter Hall, 2016. "Recession forecasting using Bayesian classification," Research Working Paper RWP 16-6, Federal Reserve Bank of Kansas City.
    5. Jeremy J. Nalewaik, 2011. "Forecasting recessions using stall speeds," Finance and Economics Discussion Series 2011-24, Board of Governors of the Federal Reserve System (U.S.).

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