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On the informational role of term structure in the U.S. monetary policy rule

  • Jesús Vázquez


    (Universidad del País Vasco)

  • Ramón María-Dolores


    (Universidad de Murcia)

  • Juan-Miguel Londoño


    (Universidad del País Vasco)

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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Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0919.

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Length: 48 pages
Date of creation: Sep 2009
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Handle: RePEc:bde:wpaper:0919
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