Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/306050 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Economics: The Open-Access, Open-Assessment Journal [ISSN:] 1864-6042 [Volume:] 15 [Issue:] 1 [Year:] 2021 [Pages:] 150-162
Verlag: 
De Gruyter, Berlin
Zusammenfassung: 
This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To use the Kalman filter as the optimal signal extraction technique, we use a convenient reformulation for the state equation by allowing expectations to play a significant role in explaining the future time evolution of monetary shocks. This alternative formulation allows us to perform the maximum likelihood estimation for all the parameters involved in the monetary policy as well as to recover conditional probabilities of regime change. Empirical evidence on the US monetary policy making is provided for the period covering 1986-Q1 to 2021-Q2. We compare our empirical estimates with those obtained based on the particle filter. While both procedures lead to similar quantitative and qualitative findings, our approach has much less computational cost.
Schlagwörter: 
Kalman filter
monetary shocks
particle filter
Taylor rule
JEL: 
C22
F31
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.