On the informational role of term structure in the US monetary policy rule

Ramón Maria-Dolores, Jesús Vázquez and Juan M. Londono

UMUFAE Economics Working Papers from DIGITUM. Universidad de Murcia

Abstract: The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread becomes a significant determinant of the U.S. estimated monetary policy rule when revised and real-time data of output and inflation are both considered.

Keywords: NKM model; term structure; Indirect Inference; real-time and revised data; monetary policy rule (search for similar items in EconPapers)
JEL-codes: D12 R23 (search for similar items in EconPapers)
Pages: 40
Date: 2009-06
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Related works:
Journal Article: On the informational role of term structure in the US monetary policy rule (2013)
Working Paper: On the informational role of term structure in the U.S. monetary policy rule (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:mur:wpaper:4699

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