Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30090
Authors: 
Mandler, Martin
Year of Publication: 
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

Files in This Item:
File
Size
192.03 kB





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