Further empirical evidence of nonlinearity in the us monetary policy rule

Jahyun Koo (), Ivan Paya () and David Peel
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Jahyun Koo: Lancaster University

Economics Bulletin, 2010, vol. 30, issue 3, 2464-2477

Abstract: Given conflicting results on whether the US monetary policy rule exhibited nonlinearity in the post-war period we employ a new Granger non-causality nonlinearity test and non-parametric procedures to re-examine the issue. Both procedures suggest that the Fed followed a nonlinear Taylor rule with respect to expected inflation and expected output gap prior to 1979 but not post 1982.

Keywords: Taylor rule; nonlinearity; Granger non-causality nonlinearity; non-parametric (search for similar items in EconPapers)
JEL-codes: C2 E5 (search for similar items in EconPapers)
Date: 2010-09-23
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Citations: View citations in EconPapers (2)

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