Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185375
Authors: 
Caggiano, Giovanni
Castelnuovo, Efrem
Nodari, Gabriela
Year of Publication: 
2018
Series/Report no.: 
CESifo Working Paper No. 7177
Abstract: 
We employ real-time data available to the US monetary policy makers to estimate a Taylor rule augmented with a measure of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan-Bernanke period only. Focusing on this period, the “risk-management” approach is found to be responsible for monetary policy easings for up to 75 basis points of the federal funds rate.
Subjects: 
risk management-driven policy rate gap
uncertainty
monetary policy
Taylor rules
real-time data
JEL: 
C20
E40
E50
Document Type: 
Working Paper

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