The Taylor rule and interest rate uncertainty in the U.S. 1955-2006
Download full text from publisher
References listed on IDEAS
- Fabio Fornari, 2005. "The rise and fall of US dollar interest rate volatility: evidence from swaptions," BIS Quarterly Review, Bank for International Settlements, September.
- Richard Clarida & Jordi Galí & Mark Gertler, 2000.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 115(1), pages 147-180.
- Richard Clarida & Jordi Galí & Mark Gertler, 1997. "Monetary policy rules and macroeconomic stability: Evidence and some theory," Economics Working Papers 350, Department of Economics and Business, Universitat Pompeu Fabra, revised May 1999.
- Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers 1908, C.E.P.R. Discussion Papers.
- Richard Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," NBER Working Papers 6442, National Bureau of Economic Research, Inc.
- Clarida, R. & Gali, J. & Gertler, M., 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and some Theory," Working Papers 98-01, C.V. Starr Center for Applied Economics, New York University.
- Guglielmo Maria Caporale & Andrea Cipollini, 2002. "The Euro and Monetary Policy Transparency," Eastern Economic Journal, Eastern Economic Association, vol. 28(1), pages 59-70, Winter.
- Markku Lanne & Pentti Saikkonen, 2003.
"Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 1(1), pages 96-125.
- Lanne, Markku & Saikkonen, Pentti, 2000. "Modeling the US short-term interest rate by mixture autoregressive processes," SFB 373 Discussion Papers 2000,76, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Markku Lanne & Pentti Saikkonen, 2001. "Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes," CeNDEF Workshop Papers, January 2001 PO5, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Trehan, Bharat & Wu, Tao, 2007.
"Time-varying equilibrium real rates and monetary policy analysis,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 31(5), pages 1584-1609, May.
- Bharat Trehan & Tao Wu, 2004. "Time varying equilibrium real rates and monetary policy analysis," Working Paper Series 2004-10, Federal Reserve Bank of San Francisco, revised 2004.
- Athanasios Orphanides, 2001. "Monetary Policy Rules Based on Real-Time Data," American Economic Review, American Economic Association, vol. 91(4), pages 964-985, September.
- Favero, Carlo A. & Mosca, Federico, 2001.
"Uncertainty on monetary policy and the expectations model of the term structure of interest rates,"
Elsevier, vol. 71(3), pages 369-375, June.
- Carlo A. Favero & Federico Mosca, "undated". "Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates," Working Papers 179, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Favero, Carlo A. & Mosca, Federico, 2001. "Uncertainty on Monetary Policy and the Expectational Model of the Term Structure of Interest Rates," CEPR Discussion Papers 2748, C.E.P.R. Discussion Papers.
- Chuderewicz, Russell P., 2002. "Using interest rate uncertainty to predict the paper-bill spread and real output," Journal of Economics and Business, Elsevier, vol. 54(3), pages 293-312.
- William Poole, 2005. "How predictable is Fed policy?," Review, Federal Reserve Bank of St. Louis, issue nov, pages 659-668.
- Juan Ayuso & Andrew Haldane & Fernando Restoy, 1997. "Volatility transmission along the money market yield curve," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 56-75, March.
- Carmine Trecroci & Matilde Vassalli, 2010.
"Monetary Policy Regime Shifts: New Evidence From Time‐Varying Interest Rate Rules,"
Western Economic Association International, vol. 48(4), pages 933-950, October.
- Carmine Trecroci & Matilde Vassalli, 2006. "Monetary policy regime shifts: new evidence from time-varying interest rate rules," Working Papers 0602, University of Brescia, Department of Economics.
- Joseph P. Byrne & E. Philip Davis, 2005.
"Investment and Uncertainty in the G7,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(1), pages 1-32, April.
- Professor E. Philip Davis & Joseph Byrne, 2002. "Investment and Uncertainty in the G7," National Institute of Economic and Social Research (NIESR) Discussion Papers 198, National Institute of Economic and Social Research.
- Byrne, Joseph P & Davis, E Philip, 2002. "Investment and Uncertainty in the G7," MPRA Paper 78956, University Library of Munich, Germany.
- Kuzin, Vladimir, 2006. "The inflation aversion of the Bundesbank: A state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1671-1686.
- Muellbauer, John & Nunziata, Luca, 2004. "Forecasting (and Explaining) US Business Cycles," CEPR Discussion Papers 4584, C.E.P.R. Discussion Papers.
- Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-368, July.
- Sun, Licheng, 2005. "Regime shifts in interest rate volatility," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 418-434, June.
- Vincent Reinhart, 2003. "Making monetary policy in an uncertain world," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 265-274.
- Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
- Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-184, January.
- Boivin, Jean, 2006.
"Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(5), pages 1149-1173, August.
- Jean Boivin, 2005. "Has US Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data," NBER Working Papers 11314, National Bureau of Economic Research, Inc.
- Athanasios Orphanides, 2002. "Monetary-Policy Rules and the Great Inflation," American Economic Review, American Economic Association, vol. 92(2), pages 115-120, May.
- Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Belongia, Michael T. & Ireland, Peter N., 2016.
"The evolution of U.S. monetary policy: 2000–2007,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 73(C), pages 78-93.
- Michael T. Belongia & Peter N. Ireland, 2015. "The Evolution of US Monetary Policy: 2000-2007," Boston College Working Papers in Economics 882, Boston College Department of Economics.
- Michael T. Belongia & Peter N. Ireland, 2016. "The Evolution of U.S. Monetary Policy: 2000 - 2007," NBER Working Papers 22693, National Bureau of Economic Research, Inc.
More about this item
Keywordsmonetary policy rules; interest rate uncertainty; Kalman filter;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FOR-2007-03-31 (Forecasting)
- NEP-MAC-2007-03-31 (Macroeconomics)
- NEP-MON-2007-03-31 (Monetary Economics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:2340. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.