Ang, Andrew; Piazzesi, Monika; Dong, Sen - National Bureau of Economic Research (NBER) - 2007
-looking Taylor rules. We find that inflation and output gap account for over half of the variation of time-varying excess bond …We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long … rules estimated by OLS, and the resulting monetary policy shocks are somewhat less volatile than their OLS counterparts. …