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Madeira, J. & Palma, N. (2018). Measuring monetary policy deviations from the Taylor rule. Economics Letters. 168, 25-27
J. A. Madeira and P. N., "Measuring monetary policy deviations from the Taylor rule", in Economics Letters, vol. 168, pp. 25-27, 2018
@article{madeira2018_1716210229367, author = "Madeira, J. and Palma, N.", title = "Measuring monetary policy deviations from the Taylor rule", journal = "Economics Letters", year = "2018", volume = "168", number = "", doi = "10.1016/j.econlet.2018.03.034", pages = "25-27", url = "https://www.sciencedirect.com/journal/economics-letters" }
TY - JOUR TI - Measuring monetary policy deviations from the Taylor rule T2 - Economics Letters VL - 168 AU - Madeira, J. AU - Palma, N. PY - 2018 SP - 25-27 SN - 0165-1765 DO - 10.1016/j.econlet.2018.03.034 UR - https://www.sciencedirect.com/journal/economics-letters AB - We estimate deviations of the federal funds rate from the Taylor rule by taking into account the endogeneity of output and inflation to changes in interest rates. We do this by simulating the paths of these variables through a DSGE model using the estimated time series for the exogenous processes except for monetary shocks. We then show that taking the endogeneity of output and inflation into account can make a significant quantitative difference (which can exceed 40 basis points) when calculating the appropriate value of interest rates according to the Taylor rule. ER -