Publication: On the informational role of term structure in the US monetary policy rule
Authors
María-Dolores Pedrero, Ramón ; Vázquez, Jesús ; Londoño, Juan M.
item.page.secondaryauthor
item.page.director
Publisher
publication.page.editor
publication.page.department
DOI
item.page.type
info:eu-repo/semantics/article
Description
Abstract
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.
publication.page.subject
Citation
item.page.embargo
Collections
Ir a Estadísticas
Sin licencia Creative Commons.