Estimating the Taylor Rule in the Time-Frequency Domain

Detalhes bibliográficos
Autor(a) principal: Aguiar-Conraria, Luís
Data de Publicação: 2018
Outros Autores: Martins, Manuel M. F., Soares, M. J.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/60224
Resumo: We present the first assessment of U.S.monetary policy across time and frequencies within the Taylor Rule framework. We derive a novel wavelet tool - the partial wavelet gain - to estimate a parametric equation relating the federal funds rate to infation and the output gap. We detect a gradual shift of the focus of policy from short cycles to intermediate cycles at the beginning of the Great Moderation,followed by a strengthening of policy´s reaction to long fluctuations once credibility was attained, and, during the Great Recession, a renewed interest in shorter output cycles. We document that the violation of the Taylor principle until the early 1980s and the strengthening of the reaction of policy to inflation there after were more marked at intermediate than at long cycles. Overall, we also detect lead-lag relationships between the policy rate and infation and the output gap that differ along time and cyclical frequencies.
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spelling Estimating the Taylor Rule in the Time-Frequency DomainMonetary PolicyTaylor RulePartial Wavelet GainTime-Frequency EstimationContinuous Wavelet TransformCiências Sociais::Economia e GestãoWe present the first assessment of U.S.monetary policy across time and frequencies within the Taylor Rule framework. We derive a novel wavelet tool - the partial wavelet gain - to estimate a parametric equation relating the federal funds rate to infation and the output gap. We detect a gradual shift of the focus of policy from short cycles to intermediate cycles at the beginning of the Great Moderation,followed by a strengthening of policy´s reaction to long fluctuations once credibility was attained, and, during the Great Recession, a renewed interest in shorter output cycles. We document that the violation of the Taylor principle until the early 1980s and the strengthening of the reaction of policy to inflation there after were more marked at intermediate than at long cycles. Overall, we also detect lead-lag relationships between the policy rate and infation and the output gap that differ along time and cyclical frequencies.Fundação para a Ciência e Tecnologia (FCT)info:eu-repo/semantics/publishedVersionUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoAguiar-Conraria, LuísMartins, Manuel M. F.Soares, M. J.20182018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/60224enghttps://www.eeg.uminho.pt/pt/investigar/nipe/Paginas/publicacoes.aspxinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-05-11T07:40:22Zoai:repositorium.sdum.uminho.pt:1822/60224Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-11T07:40:22Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Estimating the Taylor Rule in the Time-Frequency Domain
title Estimating the Taylor Rule in the Time-Frequency Domain
spellingShingle Estimating the Taylor Rule in the Time-Frequency Domain
Aguiar-Conraria, Luís
Monetary Policy
Taylor Rule
Partial Wavelet Gain
Time-Frequency Estimation
Continuous Wavelet Transform
Ciências Sociais::Economia e Gestão
title_short Estimating the Taylor Rule in the Time-Frequency Domain
title_full Estimating the Taylor Rule in the Time-Frequency Domain
title_fullStr Estimating the Taylor Rule in the Time-Frequency Domain
title_full_unstemmed Estimating the Taylor Rule in the Time-Frequency Domain
title_sort Estimating the Taylor Rule in the Time-Frequency Domain
author Aguiar-Conraria, Luís
author_facet Aguiar-Conraria, Luís
Martins, Manuel M. F.
Soares, M. J.
author_role author
author2 Martins, Manuel M. F.
Soares, M. J.
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Aguiar-Conraria, Luís
Martins, Manuel M. F.
Soares, M. J.
dc.subject.por.fl_str_mv Monetary Policy
Taylor Rule
Partial Wavelet Gain
Time-Frequency Estimation
Continuous Wavelet Transform
Ciências Sociais::Economia e Gestão
topic Monetary Policy
Taylor Rule
Partial Wavelet Gain
Time-Frequency Estimation
Continuous Wavelet Transform
Ciências Sociais::Economia e Gestão
description We present the first assessment of U.S.monetary policy across time and frequencies within the Taylor Rule framework. We derive a novel wavelet tool - the partial wavelet gain - to estimate a parametric equation relating the federal funds rate to infation and the output gap. We detect a gradual shift of the focus of policy from short cycles to intermediate cycles at the beginning of the Great Moderation,followed by a strengthening of policy´s reaction to long fluctuations once credibility was attained, and, during the Great Recession, a renewed interest in shorter output cycles. We document that the violation of the Taylor principle until the early 1980s and the strengthening of the reaction of policy to inflation there after were more marked at intermediate than at long cycles. Overall, we also detect lead-lag relationships between the policy rate and infation and the output gap that differ along time and cyclical frequencies.
publishDate 2018
dc.date.none.fl_str_mv 2018
2018-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/60224
url https://hdl.handle.net/1822/60224
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.eeg.uminho.pt/pt/investigar/nipe/Paginas/publicacoes.aspx
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv mluisa.alvim@gmail.com
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