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On the informational role of term structure in the U.S. monetary policy rule

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Issue Date
2009
Physical description
49 p. : fórmulas
Abstract
The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread becomes a significant determinant of the U.S. estimated monetary policy rule when revised and real-time data of output and inflation are both considered
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Documentos de trabajo / Banco de España, 0919
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