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Campo DC | Valor |
---|---|
dc.contributor.author | Vazquez, Jesús |
dc.contributor.author | María-Dolores Pedrero, Ramón |
dc.contributor.author | Londoño, Juan Miguel |
dc.coverage.spatial | Estados Unidos |
dc.date.accessioned | 2019-08-10T17:55:14Z |
dc.date.available | 2019-08-10T17:55:14Z |
dc.date.issued | 2009-09-16 |
dc.identifier.issn | ISSN: 0213-2710 (en papel) |
dc.identifier.issn | ISSN: 1579-8666 (en línea) |
dc.identifier.uri | https://repositorio.bde.es/handle/123456789/6997 |
dc.description.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 |
dc.format.extent | 49 p. : fórmulas |
dc.language.iso | eng |
dc.publisher | Banco de España |
dc.relation.ispartof | Documentos de Trabajo / Banco de España, 0919 |
dc.rights | Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0) |
dc.rights | In Copyright - Non Commercial Use Permitted |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES |
dc.rights.uri | http://rightsstatements.org/vocab/InC-NC/1.0/ |
dc.subject | NKM model |
dc.subject | Term structure |
dc.subject | Monetary policy rule |
dc.subject | Indirect reference |
dc.subject | Real-time and revised data |
dc.title | On the informational role of term structure in the U.S. monetary policy rule |
dc.type | Documento de trabajo |
dc.identifier.bdebib | 000269078 |
dc.identifier.bdepub | DTRA-200919-eng |
dc.subject.bde | Modelos de series temporales |
dc.subject.bde | Fluctuaciones y ciclos económicos |
dc.subject.bde | Política monetaria |
dc.publisher.bde | Madrid : Banco de España, 2009 |
dc.subject.jel | C32 |
dc.subject.jel | E30 |
dc.subject.jel | E52 |