Decomposing Federal Funds Rate forecast uncertainty using real-time data

Decomposing Federal Funds Rate forecast uncertainty using real-time data

Using real-time data I estimate out-of-sample forecast uncertainty about the Federal Funds Rate. Combining a Taylor rule with a model of economic fundamentals I disentangle economically interpretable components of forecast uncertainty: uncertainty about future economic conditions and uncertainty abo...

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Detaylı Bibliyografya
Yayımlandı:MAGKS - Joint Discussion Paper Series in Economics (Band 47-2009)
Yazar: Mandler, Martin
Materyal Türü: Arbeit
Dil:İngilizce
Baskı/Yayın Bilgisi: Philipps-Universität Marburg 2009
Konular:
monetary policy reaction function
state-space model
Wirtschaft
interest rate uncertainty
Economics
Online Erişim:PDF Tam Metin
Etiketler: Etiketle
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Diğer Bilgiler
Özet:Using real-time data I estimate out-of-sample forecast uncertainty about the Federal Funds Rate. Combining a Taylor rule with a model of economic fundamentals I disentangle economically interpretable components of forecast uncertainty: uncertainty about future economic conditions and uncertainty about future monetary policy. Uncertainty about U.S. monetary policy fell to unprecedented low levels in the 1980s and remained low while uncertainty about future output and inflation declined only temporarily. This points to an important role of increased predictability of monetary policy in explaining the decline in macroeconomic volatility in the U.S. since the mid-1980s.
Fiziksel Özellikler:43 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0028

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