Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate

Dominique Guegan () and Florian Ielpo ()
Additional contact information
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Florian Ielpo: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper intends to show that the variations in the target rate level and the duration between two variations in the target rate do not necessarily react to the same factors. For this purpose, the paper uses a model derived from Engle and Russell (2005). It proposes to model differently the duration between two changes in the target rate and the target rate variations. Extracting the factors driving monetary policy using enhanced principal component analysis, namely the partial least square algorithm, the paper shows that durations and the variations in the target rate time series react differently to each factor.

Keywords: Taylor rule; duration models; probit models; Central Bank expectations; Factor based methods (search for similar items in EconPapers)
Date: 2009-08
References: Add references at CitEc
Citations:

Published in Journal of Monetary Economics, 2009, 7 (3-4), pp.44-72

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:hal:journl:halshs-00439813

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().