Estimating the Taylor Rule in the Time-Frequency Domain
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , |
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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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 |
_version_ |
1817545399650484224 |