The Taylor Rule and Interest Rate Uncertainty in the U.S. 1970-2006

The Taylor Rule and Interest Rate Uncertainty in the U.S. 1970-2006

This paper shows how to estimate forecast uncertainty about future short-term interest rates by combining a time-varying Taylor rule with an unobserved components model of economic fundamentals. Using this model I separate interest rate uncertainty into economically meaningful components that repres...

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Bibliografski detalji
Izdano u:MAGKS - Joint Discussion Paper Series in Economics (Band 45-2009)
Glavni autor: Mandler, Martin
Format: Arbeit
Jezik:engleski
Izdano: Philipps-Universität Marburg 2009
Teme:
Monetary policy
output-gap forecasts
Wirtschaft
state-space models
inflation forecasts
reaction functions
Economics
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Opis
Sažetak:This paper shows how to estimate forecast uncertainty about future short-term interest rates by combining a time-varying Taylor rule with an unobserved components model of economic fundamentals. Using this model I separate interest rate uncertainty into economically meaningful components that represent uncertainty about future economic conditions and uncertainty about future monetary policy. Results from estimating the model on U.S. data suggest important changes in uncertainty about future short-term interest rates over time and highlight the relative importance of the different elements which underlie interest rate uncertainty for the U.S.
Opis fizičkog objekta:29 Seiten
ISSN:1867-3678
Digitalni identifikator objekta:10.17192/es2024.0026

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