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  • Search: subject:"and time varying coefficient"
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Year of publication
Subject
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Monetary policy rule 1 and time varying coefficient 1 nonlinear model 1 stock market 1 structural break 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Lee, Dong Jin 1 Son, Jong Chil 1
Institution
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Department of Economics, University of Connecticut 1
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Working papers / Department of Economics, University of Connecticut 1
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RePEc 1
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Nonlinearity and Structural Breaks in Monetary Policy Rules with Stock Prices
Lee, Dong Jin; Son, Jong Chil - Department of Economics, University of Connecticut - 2011
This paper empirically examines how the Fed responds to stock prices and inflation movements, using the forward-looking Taylor rule augmented with the stock price gap. The typical linear policy reaction function has a substantial change after 1991, but lacks the robustness in that the estimation...
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