Search Results

SORT BY: PREVIOUS / NEXT
Keywords:spectral regression 

Working Paper
Frequency Dependence in a Real-Time Monetary Policy Rule

We estimate a monetary policy rule for the US allowing for possible frequency dependence?i.e., allowing the central bank to respond differently to more persistent innovations than to more transitory innovations, in both the unemployment rate and the inflation rate. Our estimation method uses real-time data in these rates?as did the FOMC?and requires no a priori assumptions on the pattern of frequency dependence or on the nature of the processes generating either the data or the natural rate of unemployment. Unlike other approaches, our estimation method allows for possible feedback in the ...
Working Papers (Old Series) , Paper 1430

Working Paper
Persistence Dependence in Empirical Relations: The Velocity of Money

Standard theory predicts persistence dependence in numerous economic relationships. (For example, persistence dependence is precisely the kind of nonlinear relationship posited in the Permanent Income Hypothesis; persistence dependence is the inverse of ?frequency dependence? in a relationship.) Until recently, however, it was challenging to achieve credible inference about persistence dependence in an economic relationship using available methods. However, recently developed econometric tools (Ashley and Verbrugge, 2009a) allow one to elegantly quantify the variation in a time-series ...
Working Papers (Old Series) , Paper 1530

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C22 2 items

C32 2 items

E00 1 items

E31 1 items

E5 1 items

E52 1 items

show more (1)

FILTER BY Keywords

spectral regression 2 items

Taylor rule 1 items

frequency dependence 1 items

frequency-dependence 1 items

money demand 1 items

real-time data 1 items

show more (1)

PREVIOUS / NEXT