Rodrigues Madeira, Joao Antonio orcid.org/0000-0002-7380-9009 and Palma, Nuno (2018) Measuring monetary policy deviations from the Taylor rule. Economics Letters. pp. 25-27. ISSN 0165-1765
Abstract
We estimate deviations of the federal funds rate from the Taylor rule by taking into account the endogeneity of output and inflation to changes in interest rates. We do this by simulating the paths of these variables through a DSGE model using the estimated time series for the exogenous processes except for monetary shocks. We then show that taking the endogeneity of output and inflation into account can make a significant quantitative difference (which can exceed 40 basis points) when calculating the appropriate value of interest rates according to the Taylor rule.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 29 Mar 2018 11:00 |
Last Modified: | 02 Nov 2024 01:18 |
Published Version: | https://doi.org/10.1016/j.econlet.2018.03.034 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.econlet.2018.03.034 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:129133 |