How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate

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.

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Year of publication:	2006-10-12
Authors:	Zagaglia, Paolo
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 5.2006, 14, p. 1-11
Publisher:	AccessEcon
Subject:	conditional symmetry

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Extent:	application/pdf
Type of publication:	Article
Classification:	E4 - Money and Interest Rates ; B4 - Economic Methodology
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010629487