On the informational role of term structure in the US monetary policy rule

Jesús Vázquez, Ramón Maria-Dolores and Juan-Miguel Londoño

Journal of Economic Dynamics and Control, 2013, vol. 37, issue 9, 1852-1871

Abstract: This paper uses 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 and policy inertia are both important determinants of the US estimated monetary policy rule whereas the persistence of shocks plays a small but significant role when revised and real-time data of output and inflation are both considered. More importantly, the relative importance of term spread and persistent shocks in the policy rule and the shock transmission mechanism drastically change when it is taken into account that real-time data are not well behaved.

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)
Date: 2013
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: On the informational role of term structure in the U.S. monetary policy rule (2009)
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:eee:dyncon:v:37:y:2013:i:9:p:1852-1871

DOI: 10.1016/j.jedc.2013.04.002

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