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Monetary Policy Regimes and the Reduced Form for Interest Rates

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  • Peek, Joe
  • Wilcox, James A

Abstract

This study investigates whether the recent poor performance and inst ability of reduced-form interest-rate equations can be accounted for by changes in monetary policy regimes. The results imply that reduced -form coefficients move by statistically-significant and economically -meaningful amounts in response to such policy parameter shifts. Both in-sample and out-of-sample predictions from the models that allow f or the endogeneity of the money stock outperform those produced by the conventional specification. Copyright 1987 by Ohio State University Press.

Suggested Citation

  • Peek, Joe & Wilcox, James A, 1987. "Monetary Policy Regimes and the Reduced Form for Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(3), pages 273-291, August.
    • Handle: RePEc:mcb:jmoncb:v:19:y:1987:i:3:p:273-91
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    Cited by:

    1. Yash P. Mehra, 1995. "Some key empirical determinants of short-term nominal interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 33-51.
    2. María José Gutiérrez & Jesús Vázquez, "undated". "The Changing Behavior of the Term Structure of Post-War U.S. Interest Rates and Changes in the Federal Reserve Chairman. Is There a Link?," Working Papers on International Economics and Finance 01-03, FEDEA.
    3. Henry Chappell & Rob McGregor & Todd Vermilyea, 2007. "The persuasive power of a Committee Chairman: Arthur Burns and the FOMC," Public Choice, Springer, vol. 132(1), pages 103-112, July.
    4. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    5. Vilasuso, Jon, 1999. "The Liquidity Effect and the Operating Procedure of the Federal Reserve," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 443-461, July.
    6. John S. Irons & N. Ericsson, "undated". "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics.

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