Shock matters for estimating monetary policy rules

Toyoichiro Shirota

Economics Letters, 2019, vol. 181, issue C, 54-56

Abstract: This study proposes a simple methodology to conditionally estimate monetary-policy rule parameters for underlying structural shocks. The results are summarized as follows. First, the Federal Reserve (Fed) chooses different responses to different types of shocks. Second, the long-run response of policy rates to inflation does not exceed 1 for some shocks. This result suggests that the Fed does not meet the Taylor principle for some shocks.

Keywords: Monetary policy; Structural shocks; Policy rule (search for similar items in EconPapers)
JEL-codes: E21 E22 E32 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:181:y:2019:i:c:p:54-56

DOI: 10.1016/j.econlet.2019.04.031

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