Real‐Time Model Uncertainty in the United States: The Fed, 1996–2003

Robert Tetlow and Brian Ironside

Journal of Money, Credit and Banking, 2007, vol. 39, issue 7, 1533-1561

Abstract: We study 30 vintages of FRB/US, the principal macro‐model used by the Federal Reserve Board staff for forecasting and policy analysis. We document the surprisingly large and consequential changes in model properties that occurred during the period from July 1996 to November 2003 and compute optimal Taylor‐type rules for each vintage. Model uncertainty is shown to be a substantial problem; the efficacy of purportedly optimal policy rules should not be taken on faith. We also find that previous findings that simple rules are robust to model uncertainty may be an overly sanguine conclusion.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/j.1538-4616.2007.00078.x

Related works:
Journal Article: Real-Time Model Uncertainty in the United States: The Fed, 1996-2003 (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:39:y:2007:i:7:p:1533-1561

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().