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Testing for Real Effects of Monetary Policy Regime Shifts

  • Carl E. Walsh

Huizinga and Mishkin (1986) have recently proposed a simple method for testing whether monetary policy regime changes have affected the ex-ante real rate of interest. This paper shows that care must be taken in choosing the set of variables on which to project the ex-post real rate if inferences about the ex-ante real rate are to be drawn. It is shown that Huizinga. and Mishkin's tests cannot distinguish between shifts in the real rate process and shifts in the inflation process.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2116.

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Date of creation: Jan 1987
Date of revision:
Publication status: published as Journal of Money, Credit and Banking, Vol. 20, no. 3, part 1 (1988): 393-401.
Handle: RePEc:nbr:nberwo:2116
Note: ME
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