Assessing GMM Estimates of the Federal Reserve Reaction Function.

Estimating a forward-looking monetary policy rule by the Generalized Method of Moments (GMM) has become a popular approach since the influential paper by Clarida, Gali, and Gertler (1998). However, an abundant econometric literature underlines the unappealing small-samples properties of GMM estimators. Focusing on the Federal Reserve reaction function, we assess GMM estimates in the context of monetary policy rules.

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Year of publication:	2001
Authors:	Florens, C. ; Jondeau, E. ; Le Bihan, H.
Institutions:	Banque de France
Subject:	MONETARY POLICY \| ECONOMIC MODELS \| INFLATION

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Series:	Banque de France - Direction Generale des Etudes.
Type of publication:	Book / Working Paper
Notes:	17 pages
Classification:	E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; F41 - Open Economy Macroeconomics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671910