This note raises the issue of whether asymmetry in estimated monetary-policy rules for the U.S. can be a spurious result due to model specification, rather than a robust feature of the estimated rules themselves. I estimate standard - linear - Taylor rules, and test for conditional symmetry using the procedures presented in Bai and Ng (2001a). The results cast doubt on Taylor rules providing a consistent description of the conduct of the Fed.
P. Zagaglia (2006). How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate. ECONOMICS BULLETIN, 5, 1-11.
How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate
ZAGAGLIA, PAOLO
2006
Abstract
This note raises the issue of whether asymmetry in estimated monetary-policy rules for the U.S. can be a spurious result due to model specification, rather than a robust feature of the estimated rules themselves. I estimate standard - linear - Taylor rules, and test for conditional symmetry using the procedures presented in Bai and Ng (2001a). The results cast doubt on Taylor rules providing a consistent description of the conduct of the Fed.File in questo prodotto:
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