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How stable are monetary policy rules: estimating the time-varying coefficients in monetary policy reaction function for the US

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  • Swamy, P.A.V.B.
  • Tavlas, George S.
  • Chang, I-Lok

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  • Swamy, P.A.V.B. & Tavlas, George S. & Chang, I-Lok, 2005. "How stable are monetary policy rules: estimating the time-varying coefficients in monetary policy reaction function for the US," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 575-590, April.
    • Handle: RePEc:eee:csdana:v:49:y:2005:i:2:p:575-590
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    1. Basmann, R. L., 1988. "Causality tests and observationally equivalent representations of econometric models," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 69-104.
    2. Richard H. Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary policy rules in practice," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    3. John B. Taylor, 1999. "A Historical Analysis of Monetary Policy Rules," NBER Chapters, in: Monetary Policy Rules, pages 319-348, National Bureau of Economic Research, Inc.
    4. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1.
    5. I-Lok Chang & P.A.V.B. Swamy & Charles Hallahan & George S. Tavlas, 2000. "A Computational Approach to Finding Causal Economic Laws," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 105-136, October.
    6. Pratt, John W. & Schlaifer, Robert, 1988. "On the interpretation and observation of laws," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 23-52.
    7. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
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    Cited by:

    1. Ho-Chuan Huang & Shu-Chin Lin, 2006. "Time-varying discrete monetary policy reaction functions," Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 449-464.
    2. George Hondroyiannis & P.A.V.B. Swamy & George Tavlas & Michael Ulan, 2008. "Some Further Evidence on Exchange-Rate Volatility and Exports," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 144(1), pages 151-180, April.
    3. Christina Christou & Ruthira Naraidoo & Rangan Gupta & Christis Hassapis, 2022. "Monetary policy reaction to uncertainty in Japan: Evidence from a quantile‐on‐quantile interest rate rule," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2041-2053, April.
    4. Swamy, P.A.V.B. & Yaghi, Wisam & Mehta, Jatinder S. & Chang, I-Lok, 2007. "Empirical best linear unbiased prediction in misspecified and improved panel data models with an application to gasoline demand," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3381-3392, April.
    5. Milas, Costas & Naraidoo, Ruthira, 2012. "Financial conditions and nonlinearities in the European Central Bank (ECB) reaction function: In-sample and out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 173-189, January.
    6. René Lalonde & Nicolas Parent, 2006. "The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States," Staff Working Papers 06-11, Bank of Canada.
    7. Barnett, William A. & He, Susan, 2010. "Existence of singularity bifurcation in an Euler-equations model of the United States economy: Grandmont was right," Economic Modelling, Elsevier, vol. 27(6), pages 1345-1354, November.
    8. Christina Christou & Ruthira Naraidoo & Rangan Gupta & Won Joong Kim, 2018. "Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(15), pages 3552-3565, December.
    9. Paweł Baranowski, 2008. "Reguła Taylora i jej rozszerzenia," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 7-8, pages 1-23.
    10. Kapetanios, George, 2008. "Bootstrap-based tests for deterministic time-varying coefficients in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 534-545, December.
    11. Rueda, Maria del Mar & Arcos, Antonio & Munoz, Juan Francisco & Singh, Sarjinder, 2007. "Quantile estimation in two-phase sampling," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2559-2572, February.

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    More about this item

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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