Decomposing Federal Funds Rate forecast uncertainty using real-time data

Martin Mandler

MPRA Paper from University Library of Munich, Germany

Abstract: This paper uses real-time data for the U.S. to estimate out-of-sample forecast uncertainty about the Federal Funds Rate. By combining a Taylor rule with an unobserved components model of economic fundamentals I separate forecast uncertainty into economically interpretable components that represent uncertainty about future economic conditions and uncertainty about future monetary policy. The estimation results indicate important time variation in uncertainty about the future Federal Funds Rate.

Keywords: monetary policy reaction function; interest rate uncertainty; state-space model (search for similar items in EconPapers)
JEL-codes: C32 C53 E52 (search for similar items in EconPapers)
Date: 2007-02, Revised 2009-01
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/13498/1/MPRA_paper_13498.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/18768/1/MPRA_paper_18768.pdf revised version (application/pdf)

Related works:
Working Paper: Decomposing Federal Funds Rate forecast uncertainty using real-time data (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:13498

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