Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/72270 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 171
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
We separate changes of the federal funds rate into two components; one reflects the Fed's superior forecasts about the state of the economy and the other component reflects the Fed's reaction to the public's forecast about the state of the economy. Romer and Romer (2000) found that the Fed reveals information about inflation when it tightens monetary policy. Their research has implications for measuring monetary policy as well. When the Fed raises short-term interest rates it leads to some combination of increased inflationary expectations and an increased real rate. In this paper we estimate a structural VAR that allows us to separate out (identify) components of federal funds changes that are due to inflationary expectations (thus neutral) and that part which is contractionary. Our measure of monetary policy is the part of federal funds changes that exclude the Fed's revelation of its asymmetric information about future inflation.
Schlagwörter: 
monetary policy
yield curve
inflation
price puzzle
JEL: 
E31
E43
E52
Dokumentart: 
Working Paper

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