EconStor >
Philipps-Universität Marburg >
Faculty of Business Administration and Economics, Philipps-Universität Marburg >
MAGKS Joint Discussion Paper Series in Economics, Universität Marburg >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/30090
  
Title:The Taylor rule and interest rate uncertainty in the US 1970-2006 PDF Logo
Authors:Mandler, Martin
Issue Date:2009
Series/Report no.:Joint discussion paper series in economics 2009,45
Abstract:This paper shows how to estimate forecast uncertainty about future short-term interest rates by combining a time-varying Taylor rule with an unobserved components model of economic fundamentals. Using this model I separate interest rate uncertainty into economically meaningful components that represent uncertainty about future economic conditions and uncertainty about future monetary policy. Results from estimating the model on U.S. data suggest important changes in uncertainty about future short-term interest rates over time and highlight the relative importance of the different elements which underlie interest rate uncertainty for the U.S.
Subjects:Monetary policy
reaction functions
state-space models
output-gap forecasts
inflation forecasts
JEL:E52
C32
C53
Document Type:Working Paper
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

Files in This Item:
File Description SizeFormat
614980356.pdf192.03 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/30090

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.