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...

Volledige beschrijving

Bewaard in:
Bibliografische gegevens
Gepubliceerd in:MAGKS - Joint Discussion Paper Series in Economics (Band 45-2009)
Hoofdauteur: Mandler, Martin
Formaat: Arbeit
Taal:Engels
Gepubliceerd in: Philipps-Universität Marburg 2009
Onderwerpen:
Monetary policy
output-gap forecasts
Wirtschaft
state-space models
inflation forecasts
reaction functions
Economics
Online toegang:PDF Full text
Tags: Voeg label toe
Geen labels, Wees de eerste die dit record labelt!
Omschrijving
Samenvatting: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.
Fysieke beschrijving:29 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0026

Gelijkaardige items