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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.

Suggested Citation

  • María-Dolores, Ramon & Vázquez, Jesús & Londoño, Juan M., 2009. "On the informational role of term structure in the US monetary policy rule," UMUFAE Economics Working Papers 4699, DIGITUM. Universidad de Murcia.
  • Handle: RePEc:mur:wpaper:4699
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    Cited by:

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    2. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.

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    More about this item

    Keywords

    NKM model; term structure; Indirect Inference; real-time and revised data; monetary policy rule;
    All these keywords.

    JEL classification:

    • 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

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