Measuring monetary policy deviations from the Taylor rule
Joao Madeira () and
No 12553, CEPR Discussion Papers from C.E.P.R. Discussion Papers
We estimate deviations of the federal funds rate from the Taylor rule by taking into account the endogeneity of output and inflation to changes in interest rates. We do this by simulating the paths of these variables through a DSGE model using the estimated time series for the exogenous processes except for monetary shocks. We then show that taking the endogeneity of output and inflation into account can make a significant quantitative difference (which can exceed 40 basis points) when calculating the appropriate value of interest rates according to the Taylor rule.
Keywords: Bayesian estimation; Business Cycles; DSGE; interest rates; New Keynesian models; sticky prices (search for similar items in EconPapers)
JEL-codes: E32 E37 E50 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at email@example.com
Journal Article: Measuring monetary policy deviations from the Taylor rule (2018)
Working Paper: Measuring Monetary Policy Deviations from the Taylor Rule (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:12553
Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... rs/dp.php?dpno=12553
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().