Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159532
Authors: 
Castelnuovo, Efrem
Greco, Luciano
Raggi, Davide
Year of Publication: 
2010
Series/Report no.: 
Quaderni - Working Paper DSE 691
Abstract: 
This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks' volatility, and time-varying trend inflation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-fit and identification of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks' volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and inflation gap persistence.
JEL: 
E52
E61
E62
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

Files in This Item:
File
Size
1.61 MB





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