2024-03-28T08:42:48Zhttps://repositorio.bde.es/oai/requestoai:repositorio.bde.es:123456789/69972023-06-08T12:34:22Zcom_123456789_5661com_123456789_21col_123456789_5688
On the informational role of term structure in the U.S. monetary policy rule
Vazquez, Jesús
María-Dolores Pedrero, Ramón
Londoño, Juan Miguel
NKM model
Term structure
Monetary policy rule
Indirect reference
Real-time and revised data
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
2009-09-16
Documento de trabajo
ISSN: 0213-2710 (en papel)
ISSN: 1579-8666 (en línea)
https://repositorio.bde.es/handle/123456789/6997
eng
Documentos de Trabajo / Banco de España, 0919
https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES
http://rightsstatements.org/vocab/InC-NC/1.0/
Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
In Copyright - Non Commercial Use Permitted
Estados Unidos
Banco de España
Madrid : Banco de España, 2009