On the informational role of term structure in the U.S. monetary policy rule

Jesús Vázquez, Ramón Maria-Dolores and Juan-Miguel Londoño ()
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Juan-Miguel Londoño: Universidad del País Vasco

No 919, Working Papers from Banco de España

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.

Keywords: NKM model; term structure; monetary policy rule; indirect inference; real-time and revised data (search for similar items in EconPapers)
JEL-codes: C32 E30 E52 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2009-09
New Economics Papers: this item is included in nep-cba and nep-mac
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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/09/Fic/dt0919e.pdf First version, September 2009 (application/pdf)

Related works:
Journal Article: On the informational role of term structure in the US monetary policy rule (2013)
Working Paper: On the informational role of term structure in the US monetary policy rule (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0919

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