How forward-looking is the Fed? Direct estimates from a `Calvo-type' rule
Vasco Gabriel,
Paul Levine () and
Christopher Spencer
No 508, School of Economics Discussion Papers from School of Economics, University of Surrey
Abstract:
We estimate an alternative type of monetary policy rule, termed Calvo rule, according to which the central bank is assumed to target a discounted in?nite sum of future expected in?ation. Compared to conventional in?ation forecast-based rules, which are typically of the Taylor-type with discrete forward looking horizons, this class of rule is less prone to the problem of indeterminacy. Parameter estimates obtained from GMM estimation provide support for Calvo-type rules, suggesting that the Federal Reserve targeted a mean forward horizon of between 4 and 8 quarters.
Keywords: Calvo-type interest rules; In?ation Forecast Based rules; GMM; Indeterminacy. (search for similar items in EconPapers)
JEL-codes: C22 E58 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2008-06
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)
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https://repec.som.surrey.ac.uk/2008/DP05-08.pdf (application/pdf)
Related works:
Journal Article: How forward-looking is the Fed? Direct estimates from a 'Calvo-type' rule (2009) 
Working Paper: How forward-looking is the Fed? Direct estimates from a ‘Calvo-type’ rule (2008) 
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Persistent link: https://EconPapers.repec.org/RePEc:sur:surrec:0508
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