Further empirical evidence of nonlinearity in the us monetary policy rule

Given conflicting results on whether the US monetary policy rule exhibited nonlinearity in the post-war period we employ a new Granger non-causality nonlinearity test and non-parametric procedures to re-examine the issue. Both procedures suggest that the Fed followed a nonlinear Taylor rule with respect to expected inflation and expected output gap prior to 1979 but not post 1982.

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Year of publication:	2010
Authors:	Koo, Jahyun ; Paya, Ivan ; Peel, David A.
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 30.2010, 3, p. 2464-2477
Publisher:	AccessEcon
Subject:	Taylor rule \| nonlinearity \| Granger non-causality nonlinearity \| non-parametric

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	E5 - Monetary Policy, Central Banking and the Supply of Money and Credit ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008642755