Estimating the Taylor Rule in the Time-Frequency Domain
Luís Aguiar-Conraria (),
Manuel Martins () and
Maria Joana Soares ()
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Maria Joana Soares: NIPE and Department of Mathematics and Applications, University of Minho
CEF.UP Working Papers from Universidade do Porto, Faculdade de Economia do Porto
We assess U.S. monetary policy across time and frequencies in the framework of the Taylor Rule (TR). With that purpose, we derive a multivariate generalization of the wavelet gain ? the partial wavelet gain ? a new tool which allows us, for the ?rst time, to estimate the TR coe¢ cients in the time-frequency domain. By using this and other continuous wavelet tools, we reach a number of results regarding the evolution of the TR coe¢ cients along time that also have a frequency-domain nature ? for example, the in?ation coe¢ cient has violated the Taylor principle unevenly across frequencies, and the evidence of a modi?ed TR with a unit slope on output since 2009 is also uneven along time and across frequencies.
Keywords: Monetary Policy; Taylor Rule; Partial Wavelet Gain; Time-Frequency Estimation; Continuous Wavelet Transform. (search for similar items in EconPapers)
JEL-codes: C49 E43 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his, nep-mac and nep-mon
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Journal Article: Estimating the Taylor rule in the time-frequency domain (2018)
Working Paper: Estimating the Taylor Rule in the Time-Frequency Domain (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:por:cetedp:1404
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