Risk Management-Driven Policy Rate Gap

Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari

No 7177, CESifo Working Paper Series from CESifo

Abstract: We employ real-time data available to the US monetary policy makers to estimate a Taylor rule augmented with a measure of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan-Bernanke period only. Focusing on this period, the “risk-management” approach is found to be responsible for monetary policy easings for up to 75 basis points of the federal funds rate.

Keywords: risk management-driven policy rate gap; uncertainty; monetary policy; Taylor rules; real-time data (search for similar items in EconPapers)
JEL-codes: C20 E40 E50 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp7177.pdf (application/pdf)

Related works:
Journal Article: Risk management-driven policy rate gap (2018)
Working Paper: Risk management-driven policy rate gap (2018)
Working Paper: Risk Management-Driven Policy Rate Gap (2018)
Working Paper: Risk Management-Driven Policy Rate Gap (2018)
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:ces:ceswps:_7177

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().