Browsing by Subject "Term structure"

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    On the informational role of term structure in the US monetary policy rule
    (2009-06-23T14:00:15Z) María-Dolores Pedrero, Ramón; Vázquez, Jesús; Londoño, Juan M.; Fundamentos del Análisis Económico
    The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread becomes a significant determinant of the U.S. estimated monetary policy rule when revised and real-time data of output and inflation are both considered.