Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/106634
Authors: 
Woelfel, Katrin
Weber, Christoph S.
Year of Publication: 
2014
Series/Report no.: 
BGPE Discussion Paper 154
Abstract: 
There is still some doubt about those economic variables that really matter for the FED's decisions. In comparison to other estimations, this study uses the approach of Bayesian Model Averaging (BMA). The estimations show that over the long run inflation, unemployment rates, and long-term interest rates are the crucial variables in explaining the Federal Funds Rate. In the other two estimation samples, also the federal deficit and M2 were of relevance. In addition, we present the best models in more detail. Finally, a model average is constructed via BMA. The model average substantially outperforms a simple Taylor rule.
Subjects: 
FED
Monetary Policy Reaction Functions
Model Uncertainty
Bayesian Model Averaging
JEL: 
E43
E52
E58
Document Type: 
Working Paper

Files in This Item:
File
Size
993.27 kB





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