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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...
সংরক্ষণ করুন:
| প্রকাশিত: | MAGKS - Joint Discussion Paper Series in Economics (Band 45-2009) |
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| প্রধান লেখক: | |
| বিন্যাস: | Arbeit |
| ভাষা: | ইংরেজি |
| প্রকাশিত: |
Philipps-Universität Marburg
2009
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| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | পিডিএফ এ সম্পূর্ন পাঠ |
| ট্যাগগুলো: |
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| সংক্ষিপ্ত: | 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. |
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| দৈহিক বর্ননা: | 29 Seiten |
| আইএসএসএন: | 1867-3678 |
| ডিওআই: | 10.17192/es2024.0026 |