How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate

Paolo Zagaglia

Economics Bulletin, 2006, vol. 5, issue 14, 1-11

Abstract: This note raises the issue of whether asymmetry in estimated monetary-policy rules for the U.S. can be a spurious result due to model specification, rather than a robust feature of the estimated rules themselves. I estimate standard - linear - Taylor rules, and test for conditional symmetry using the procedures presented in Bai and Ng (2001a). The results cast doubt on Taylor rules providing a consistent description of the conduct of the Fed.

Keywords: conditional; symmetry (search for similar items in EconPapers)
JEL-codes: B4 E4 (search for similar items in EconPapers)
Date: 2006-10-12
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