We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule.
- Authors
Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David A.
- Abstract
The monetary economics literature has highlighted four issues that are important in evaluating US monetary policy since the late 1960s: (i) time variation in policy parameters, (ii) asymmetric preferences, (iii) real-time nature of data, and (iv) heteroskedasticity. In this paper, we exploit advances in sequential monte carlo methods to estimate a time-varying nonlinear Taylor rule that addresses these four issues simultaneously. Our findings suggest that US monetary policy has experienced substantial changes in terms of both the response to inflation and to real economic activity, as well as changes in preferences. These changes cannot be captured adequately by a single structural break at the late 1970s, as has been commonly assumed in the literature, and play a non-trivial role in economic performance.
- Subjects
UNITED States; MONETARY policy; MATHEMATICAL models of monetary policy; TAYLOR'S rule; MONTE Carlo method; ECONOMIC activity; MATHEMATICAL models of inflation
- Publication
Studies in Nonlinear Dynamics & Econometrics, 2018, Vol 22, Issue 5, pN.PAG
- ISSN
1081-1826
- Publication type
Article
- DOI
10.1515/snde-2017-0092