Testing for Real Effects of Monetary Policy Regime Shifts
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.
|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.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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