Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero

Jinill Kim and Seth Pruitt ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Did the Federal Reserve's response to economic fundamentals change with the onset of the Global Financial Crisis? Estimation of a monetary policy rule to answer this question faces a censoring problem since the interest rate target has been set at the zero lower bound since late 2008. Surveys by forecasters allow us to sidestep the problem and to use a conventional regression. We find that the Fed's inflation response has decreased and that the unemployment response has remained as strong; this suggests that the Federal Reserve's commitment to stable inflation has become weaker in the eyes of the professional forecasters.

Keywords: monetary policy; policy rule; survey data; market perceptions; censoring; zero lower bound; Blue Chip survey (search for similar items in EconPapers)
JEL-codes: E53 E58 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2013-09
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... _2013_kim_pruitt.pdf (application/pdf)

Related works:
Journal Article: Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (2017)
Working Paper: Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (2015)
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:een:camaaa:2013-53

Access Statistics for this paper

More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().