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Estimating the Market-Perceived Monetary Policy Rule / James D. Hamilton, Seth Pruitt, Scott Borger.
- Format:
- Book
- Author/Creator:
- Hamilton, James D.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w16412.
- NBER working paper series no. w16412
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2010.
- Summary:
- We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target.
- Notes:
- Print version record
- September 2010.
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