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Autoren: 
Mandler, Martin
Datum: 
2009
Reihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics 2009,47
Zusammenfassung: 
Using real-time data I estimate out-of-sample forecast uncertainty about the Federal Funds Rate. Combining a Taylor rule with a model of economic fundamentals I disentangle economically interpretable components of forecast uncertainty: uncertainty about future economic conditions and uncertainty about future monetary policy. Uncertainty about U.S. monetary policy fell to unprecedented low levels in the 1980s and remained low while uncertainty about future output and inflation declined only temporarily. This points to an important role of increased predictability of monetary policy in explaining the decline in macroeconomic volatility in the U.S. since the mid-1980s.
Schlagwörter: 
monetary policy reaction function
interest rate uncertainty
state-space model
JEL: 
E52
C32
C53
Dokumentart: 
Working Paper

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