Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/30090
Autoren: 
Mandler, Martin
Datum: 
2009
Reihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics 2009,45
Zusammenfassung: 
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.
Schlagwörter: 
Monetary policy
reaction functions
state-space models
output-gap forecasts
inflation forecasts
JEL: 
E52
C32
C53
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
192.03 kB





Publikationen in EconStor sind urheberrechtlich geschützt.