On the informational role of term structure in the US monetary policy rule

María-Dolores Pedrero, Ramón; Vázquez, Jesús; Londoño, Juan M.

Publication:
On the informational role of term structure in the US monetary policy rule

dc.contributor.author	María-Dolores Pedrero, Ramón
dc.contributor.author	Vázquez, Jesús
dc.contributor.author	Londoño, Juan M.
dc.contributor.department	Fundamentos del Análisis Económico
dc.date.accessioned	2009-06-23T14:00:15Z
dc.date.available	2009-06-23T14:00:15Z
dc.date.created	2009-06
dc.date.issued	2009-06-23T14:00:15Z
dc.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.	en_EN
dc.format	application/pdf	es
dc.format.extent	40	en_EN
dc.identifier.uri	http://hdl.handle.net/10201/4699
dc.language	eng	en_EN
dc.relation.ispartof	Proyecto de investigación:	en_EN
dc.relation.ispartofseries	WP-UMUFAE	en_EN
dc.relation.ispartofseries	2009.06	en_EN
dc.rights	info:eu-repo/semantics/openAccess	es
dc.subject	NKM model	en_EN
dc.subject	Term structure	en_EN
dc.subject	Indirect inference	en_EN
dc.subject	Real-time and revised data	en_EN
dc.subject	Monetary policy rule	en_EN
dc.subject.other	CDU::3 - Ciencias sociales::33 - Economía::336 - Finanzas. Banca. Moneda. Bolsa	en_EN
dc.title	On the informational role of term structure in the US monetary policy rule	en_EN
dc.type	info:eu-repo/semantics/article	en_EN
dspace.entity.type	Publication	es