Searching for the Fed’s reaction function

Beitrag in einer Fachzeitschrift
(Originalarbeit)


Details zur Publikation

Autor(en): Wölfel K, Weber C
Zeitschrift: Empirical Economics
Verlag: Springer Verlag (Germany)
Jahr der Veröffentlichung: 2017
Band: 52
Heftnummer: 1
Seitenbereich: 191–227
ISSN: 0377-7332
Sprache: Englisch


Abstract


There is still some doubt about those economic variables that really matter for the Fed’s decisions. In comparison with other estimations, this study uses the approach of Bayesian model averaging (BMA). The estimations show that over the long-run inflation, unemployment rates and long-term interest rates are the crucial variables in explaining the Federal Funds Rate. In the other two estimation samples, also the fiscal deficit and monetary aggregates were of relevance. There is also evidence for interest rate smoothing. In addition, we account for parameter instability by combining BMA with time-varying coefficient (TVC) modelling. We find strong evidence for structural breaks. Finally, a model average is constructed via an TVC-BMA approach.



FAU-Autoren / FAU-Herausgeber

Weber, Christoph Dr.
Lehrstuhl für Volkswirtschaftslehre
Wölfel, Katrin
Lehrstuhl für Volkswirtschaftslehre


Zitierweisen

APA:
Wölfel, K., & Weber, C. (2017). Searching for the Fed’s reaction function. Empirical Economics, 52(1), 191–227. https://dx.doi.org/10.1007/s00181-016-1076-6

MLA:
Wölfel, Katrin, and Christoph Weber. "Searching for the Fed’s reaction function." Empirical Economics 52.1 (2017): 191–227.

BibTeX: 

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