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Modeling changes in U.S. monetary policy

Research output: Working paper

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Modeling changes in U.S. monetary policy. / Nguyen, Anh; Pavlidis, Efthymios; Peel, David Alan.
Lancaster: Lancaster University, Department of Economics, 2016. (Economics Working Paper Series).

Research output: Working paper

Harvard

Nguyen, A, Pavlidis, E & Peel, DA 2016 'Modeling changes in U.S. monetary policy' Economics Working Paper Series, Lancaster University, Department of Economics, Lancaster.

APA

Nguyen, A., Pavlidis, E., & Peel, D. A. (2016). Modeling changes in U.S. monetary policy. (Economics Working Paper Series). Lancaster University, Department of Economics.

Vancouver

Nguyen A, Pavlidis E, Peel DA. Modeling changes in U.S. monetary policy. Lancaster: Lancaster University, Department of Economics. 2016 Sept. (Economics Working Paper Series).

Author

Nguyen, Anh ; Pavlidis, Efthymios ; Peel, David Alan. / Modeling changes in U.S. monetary policy. Lancaster : Lancaster University, Department of Economics, 2016. (Economics Working Paper Series).

Bibtex

@techreport{a8f57a7fecef46448cc877acbdc5a8ff,
title = "Modeling changes in U.S. monetary policy",
abstract = "The monetary economics literature has highlighted four issues that are important in evaluating U.S. monetary policy since the late 1960s: (i) time variation in policy parameters, (ii) asymmetric preferences, (iii) revisions to economic data, and (iv) heteroskedasticity. This paper, for the first time, estimates a Taylor rule model that addresses these four issues simultaneously. Our findings suggest that U.S. monetary policy has experienced substantial changes in terms of both the response to inflation and to real economic activity, as well as changes in preferences. These changes cannot be captured adequately by a single structural break at the late 1970s, as has been commonly assumed in the literature, and play a non-trivial role in economic performance.",
keywords = "Real-time data, Asymmetric objective, Stochastic volatility , Time-varying parameter model, Taylor rule, Monetary policy rules, Particle filter",
author = "Anh Nguyen and Efthymios Pavlidis and Peel, {David Alan}",
year = "2016",
month = sep,
language = "English",
series = "Economics Working Paper Series",
publisher = "Lancaster University, Department of Economics",
type = "WorkingPaper",
institution = "Lancaster University, Department of Economics",

}

RIS

TY - UNPB

T1 - Modeling changes in U.S. monetary policy

AU - Nguyen, Anh

AU - Pavlidis, Efthymios

AU - Peel, David Alan

PY - 2016/9

Y1 - 2016/9

N2 - The monetary economics literature has highlighted four issues that are important in evaluating U.S. monetary policy since the late 1960s: (i) time variation in policy parameters, (ii) asymmetric preferences, (iii) revisions to economic data, and (iv) heteroskedasticity. This paper, for the first time, estimates a Taylor rule model that addresses these four issues simultaneously. Our findings suggest that U.S. monetary policy has experienced substantial changes in terms of both the response to inflation and to real economic activity, as well as changes in preferences. These changes cannot be captured adequately by a single structural break at the late 1970s, as has been commonly assumed in the literature, and play a non-trivial role in economic performance.

AB - The monetary economics literature has highlighted four issues that are important in evaluating U.S. monetary policy since the late 1960s: (i) time variation in policy parameters, (ii) asymmetric preferences, (iii) revisions to economic data, and (iv) heteroskedasticity. This paper, for the first time, estimates a Taylor rule model that addresses these four issues simultaneously. Our findings suggest that U.S. monetary policy has experienced substantial changes in terms of both the response to inflation and to real economic activity, as well as changes in preferences. These changes cannot be captured adequately by a single structural break at the late 1970s, as has been commonly assumed in the literature, and play a non-trivial role in economic performance.

KW - Real-time data

KW - Asymmetric objective

KW - Stochastic volatility

KW - Time-varying parameter model

KW - Taylor rule

KW - Monetary policy rules

KW - Particle filter

M3 - Working paper

T3 - Economics Working Paper Series

BT - Modeling changes in U.S. monetary policy

PB - Lancaster University, Department of Economics

CY - Lancaster

ER -