Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098708 | Journal of Economic Dynamics and Control | 2013 | 20 Pages |
Abstract
This paper uses 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 and policy inertia are both important determinants of the US estimated monetary policy rule whereas the persistence of shocks plays a small but significant role when revised and real-time data of output and inflation are both considered. More importantly, the relative importance of term spread and persistent shocks in the policy rule and the shock transmission mechanism drastically change when it is taken into account that real-time data are not well behaved.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Jesús Vázquez, Ramón MarÃa-Dolores, Juan-Miguel Londoño,