How forward-looking is the Fed? Direct estimates from a `Calvo-type' rule

Vasco Gabriel, Paul Levine () and Christopher Spencer
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Christopher Spencer: University of Surrey

No 508, School of Economics Discussion Papers from School of Economics, University of Surrey

Abstract: We estimate an alternative type of monetary policy rule, termed Calvo rule, according to which the central bank is assumed to target a discounted in?nite sum of future expected in?ation. Compared to conventional in?ation forecast-based rules, which are typically of the Taylor-type with discrete forward looking horizons, this class of rule is less prone to the problem of indeterminacy. Parameter estimates obtained from GMM estimation provide support for Calvo-type rules, suggesting that the Federal Reserve targeted a mean forward horizon of between 4 and 8 quarters.

Keywords: Calvo-type interest rules; In?ation Forecast Based rules; GMM; Indeterminacy. (search for similar items in EconPapers)
JEL-codes: C22 E58 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2008-06
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 (2)

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Related works:
Journal Article: How forward-looking is the Fed? Direct estimates from a 'Calvo-type' rule (2009)
Working Paper: How forward-looking is the Fed? Direct estimates from a ‘Calvo-type’ rule (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:sur:surrec:0508

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