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Applications of the Kalman Filter in Short-Run Monetary Control

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  • LeRoy, Stephen F
  • Waud, Roger N

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  • LeRoy, Stephen F & Waud, Roger N, 1977. "Applications of the Kalman Filter in Short-Run Monetary Control," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(1), pages 195-207, February.
    • Handle: RePEc:ier:iecrev:v:18:y:1977:i:1:p:195-207
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    Cited by:

    1. Benigno, Pierpaolo & Woodford, Michael, 2012. "Linear-quadratic approximation of optimal policy problems," Journal of Economic Theory, Elsevier, vol. 147(1), pages 1-42.
    2. Lars E. O. Svensson, 2001. "Price Stability as a Target for Monetary Policy: Defining and Maintaining Price Stability," Palgrave Macmillan Books, in: Deutsche Bundesbank (ed.), The Monetary Transmission Process, chapter 2, pages 60-111, Palgrave Macmillan.
    3. Givens, Gregory E. & Salemi, Michael K., 2015. "Inferring monetary policy objectives with a partially observed state," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 190-208.
    4. Henderson, Dale, 1999. "Monetary policy issues for the Eurosystem : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 137-148, December.
    5. Svensson, Lars E. O. & Woodford, Michael, 2003. "Indicator variables for optimal policy," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 691-720, April.
    6. Benjamin M. Friedman, 1988. "Targets and Instruments of Monetary Policy," NBER Working Papers 2668, National Bureau of Economic Research, Inc.
    7. Svensson, Lars E. O. & Woodford, Michael, 2004. "Indicator variables for optimal policy under asymmetric information," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 661-690, January.
    8. Matthew B. Canzoneri & Dale W. Henderson & Kenneth S. Rogoff, 1983. "The Information Content of the Interest Rate and Optimal Monetary Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 98(4), pages 545-566.
    9. Alvaro Montenegro, 2005. "Introducción al filtro Kalman," Documentos de Economía 2920, Universidad Javeriana - Bogotá.
    10. Kim, Jinill & Henderson, Dale W., 2005. "Inflation targeting and nominal-income-growth targeting: When and why are they suboptimal?," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1463-1495, November.
    11. Michael D. Bradley & Dennis W. Jansen, 1989. "Understanding nominal GNP targeting," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 31-40.
    12. Robert B. Litterman, 1984. "The costs of intermediate targeting," Working Papers 254, Federal Reserve Bank of Minneapolis.
    13. Svensson, Lars E.O., 2010. "Inflation Targeting," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 22, pages 1237-1302, Elsevier.
    14. Bindseil, Ulrich, 1997. "Reserve requirements and economic stabilization," Discussion Paper Series 1: Economic Studies 1997,01e, Deutsche Bundesbank.
    15. Richard T. Froyen & Alfred V. Guender, 2012. "Instrument versus Target Rules As Specifications of Optimal Monetary Policy," International Finance, Wiley Blackwell, vol. 15(1), pages 99-123, April.
    16. Richard T. Froyen & Alfred Guender, 2011. "Instrument Versus Target Rules As Specifications of Optimal Monetary Policy: What are the Issues, If Any?," Working Papers in Economics 11/20, University of Canterbury, Department of Economics and Finance.
    17. Svensson, Lars E. O. & Woodford, Michael, 2003. "Indicator variables for optimal policy," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 691-720, April.
    18. Neville Francis, 2012. "The Low-Frequency Impact of Daily Monetary Policy Shock," 2012 Meeting Papers 198, Society for Economic Dynamics.
    19. Bindseil, Ulrich, 1997. "Die Stabilisierungswirkungen von Mindestreserven," Discussion Paper Series 1: Economic Studies 1997,01, Deutsche Bundesbank.

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