Measuring Monetary Policy Deviations from the Taylor Rule
Joao Madeira () and
Economics Discussion Paper Series from Economics, The University of Manchester
We estimate deviations of the federal funds rate from the Taylor rule by taking into account the endogeneity of output and ináation 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 ináation 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.
JEL-codes: E32 E37 E50 (search for similar items in EconPapers)
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Journal Article: Measuring monetary policy deviations from the Taylor rule (2018)
Working Paper: Measuring monetary policy deviations from the Taylor rule (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:man:sespap:1803
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