Home > Research > Publications & Outputs > Modeling Changes in U.S. Monetary Policy with a...

Research

Associated organisational units

Electronic data

  • 12mSNDE_Submission_FINAL_title

    Accepted author manuscript, 399 KB, PDF document

    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

Links

Text available via DOI:

Keywords

View graph of relations

Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule. / Nguyen, Anh; Pavlidis, Efthymios; Peel, David Alan.
In: Studies in Nonlinear Dynamics and Econometrics, Vol. 22, No. 5, 20170092, 12.2018.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Nguyen, A, Pavlidis, E & Peel, DA 2018, 'Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule', Studies in Nonlinear Dynamics and Econometrics, vol. 22, no. 5, 20170092. https://doi.org/10.1515/snde-2017-0092

APA

Nguyen, A., Pavlidis, E., & Peel, D. A. (2018). Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule. Studies in Nonlinear Dynamics and Econometrics, 22(5), Article 20170092. https://doi.org/10.1515/snde-2017-0092

Vancouver

Nguyen A, Pavlidis E, Peel DA. Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule. Studies in Nonlinear Dynamics and Econometrics. 2018 Dec;22(5):20170092. Epub 2018 Apr 3. doi: 10.1515/snde-2017-0092

Author

Nguyen, Anh ; Pavlidis, Efthymios ; Peel, David Alan. / Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule. In: Studies in Nonlinear Dynamics and Econometrics. 2018 ; Vol. 22, No. 5.

Bibtex

@article{1d87ad83dee24461bdca2aefb51b83df,
title = "Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule",
abstract = "The monetary economics literature has highlighted four issues that are important in evaluating US monetary policy since the late 1960s: (i) time variation in policy parameters, (ii) asymmetric preferences, (iii) real-time nature of data, and (iv) heteroskedasticity. In this paper, we exploit advances in sequential monte carlo methods to estimate a time-varying nonlinear Taylor rule that addresses these four issues simultaneously. Our findings suggest that US 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 = "asymmetric objective, monetary policy rules, particle filter, real-time data, stochastic volatility, Taylor rule, time-varying parameter model",
author = "Anh Nguyen and Efthymios Pavlidis and Peel, {David Alan}",
year = "2018",
month = dec,
doi = "10.1515/snde-2017-0092",
language = "English",
volume = "22",
journal = "Studies in Nonlinear Dynamics and Econometrics",
issn = "1558-3708",
publisher = "Berkeley Electronic Press",
number = "5",

}

RIS

TY - JOUR

T1 - Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule

AU - Nguyen, Anh

AU - Pavlidis, Efthymios

AU - Peel, David Alan

PY - 2018/12

Y1 - 2018/12

N2 - The monetary economics literature has highlighted four issues that are important in evaluating US monetary policy since the late 1960s: (i) time variation in policy parameters, (ii) asymmetric preferences, (iii) real-time nature of data, and (iv) heteroskedasticity. In this paper, we exploit advances in sequential monte carlo methods to estimate a time-varying nonlinear Taylor rule that addresses these four issues simultaneously. Our findings suggest that US 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 US monetary policy since the late 1960s: (i) time variation in policy parameters, (ii) asymmetric preferences, (iii) real-time nature of data, and (iv) heteroskedasticity. In this paper, we exploit advances in sequential monte carlo methods to estimate a time-varying nonlinear Taylor rule that addresses these four issues simultaneously. Our findings suggest that US 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 - asymmetric objective

KW - monetary policy rules

KW - particle filter

KW - real-time data

KW - stochastic volatility

KW - Taylor rule

KW - time-varying parameter model

U2 - 10.1515/snde-2017-0092

DO - 10.1515/snde-2017-0092

M3 - Journal article

VL - 22

JO - Studies in Nonlinear Dynamics and Econometrics

JF - Studies in Nonlinear Dynamics and Econometrics

SN - 1558-3708

IS - 5

M1 - 20170092

ER -