Real time data, regime shifts, and a simple but effective estimated Fed policy rule, 1969-2009

David Smant ()

MPRA Paper from University Library of Munich, Germany

Abstract: Estimates of Taylor rule equations for Federal Reserve policy over periods before the Greenspan period are misleading. Until 1979 Fed policy changed the real funds rate in response to the output gap, with no response to an inflation target. During the Volcker period the policy rule kept the real funds rate at a high but constant level, with no response to the output gap. Taking into account the regime shifts, a simple but effective funds rate equation can be estimated using only inflation and output gap.

Keywords: Taylor rule; policy regime shifts; real time data (search for similar items in EconPapers)
JEL-codes: E43 E58 (search for similar items in EconPapers)
Date: 2010-10-22
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/26124/1/MPRA_paper_26124.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/29393/1/MPRA_paper_29393.pdf revised version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26124

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().