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Shock matters for estimating monetary policy rules

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Title: Shock matters for estimating monetary policy rules
Authors: Shirota, Toyoichiro Browse this author →KAKEN DB
Keywords: Monetary policy
Structural shocks
Policy rule
Issue Date: Aug-2019
Publisher: Elsevier
Journal Title: Economics letters
Volume: 181
Start Page: 54
End Page: 56
Publisher DOI: 10.1016/j.econlet.2019.04.031
Abstract: This study proposes a simple methodology to conditionally estimate monetary-policy rule parameters for underlying structural shocks. The results are summarized as follows. First, the Federal Reserve (Fed) chooses different responses to different types of shocks. Second, the long-run response of policy rates to inflation does not exceed 1 for some shocks. This result suggests that the Fed does not meet the Taylor principle for some shocks. (C) 2019 The Author(s). Published by Elsevier B.V.
Type: article
Appears in Collections:経済学院・経済学研究院 (Graduate School of Economics and Business / Faculty of Economics and Business) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 代田 豊一郎

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