Please use this identifier to cite or link to this item: http://hdl.handle.net/10201/4699

Title: On the informational role of term structure in the US monetary policy rule
Issue Date: 23-Jun-2009
Date of creation: Jun-2009
Related subjects: CDU::3 - Ciencias sociales::33 - Economía::336 - Finanzas. Banca. Moneda. Bolsa
Keywords: NKM model
Term structure
Indirect inference
Real-time and revised data
Monetary policy rule
Abstract: The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread becomes a significant determinant of the U.S. estimated monetary policy rule when revised and real-time data of output and inflation are both considered.
Primary author: María-Dolores Pedrero, Ramón
Vázquez, Jesús
Londoño, Juan M.
Faculty / Departments / Services: Departamentos y Servicios::Departamentos de la UMU::Fundamentos del Análisis Económico
Collection: WP-UMUFAE
2009.06
Published in: Proyecto de investigación:
URI: http://hdl.handle.net/10201/4699
Document type: info:eu-repo/semantics/article
Number of pages / Extensions: 40
Rights: info:eu-repo/semantics/openAccess
Appears in Collections:Informes o documentos de trabajo

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