Dynamic taylor rules and the predictability of interest rates

Macroeconomic Dynamics

Volumn 9, Issue 3, 2005, Pages 412-428

  Söderlind, Paul ^a   Söderström, Ulf ^b   Vredin, Anders ^c  

^a UNIVERSITY OF ST GALLEN   (Switzerland)

^b BOCCONI UNIVERSITY   (Italy)

^c SVERIGES RIKSBANK   (Sweden)

Author keywords

In Sample Overfitting; Interest Rate Smoothing; Survey Data; VAR; Yield Curve

Indexed keywords

EID: 22144497331     PISSN: 13651005     EISSN: None     Source Type: Journal    
DOI: 10.1017/s1365100505040277     Document Type: Article

References (17)

1. Clarida, Richard, Jordi Galí and Mark Gertler (2000) Monetary policy rules and macroeconomic stability: Evidence and some theory. Quarrterly Journal of Economics 115, 147-180.
2. Congressional Budget Office (1995) CBO's Method for Estimating Potential Output. Memorandum.
3. Croushore, Dean (1993) Introducing: The survey of professional forecasters. Federal Reserve Bank of Philadelphia Business Review 3-13.
4. English, William B., William R. Nelson and Brian P. Sack (2003) Interpreting the significance of the lagged interest rate in estimated monetary policy rules. Contributions to Macroeconomics 3, 1073.
5. Froot, K.A. (1989) New hope for the expectations hypothesis of the term structure of interest rates. Journal of Finance 44, 283-304.
6. Fubrer, Jeffrey C. (2000) Habit formation in consumption and its implications for monetary-policy models. American Economic Review 90, 367-390.
7. Fubrer, Jeffrey C. and George Moore (1995) Inflation persistence. Quarterly Journal of Economics 110, 127-159.
8. Gerlach-Kristen, Petra (2004) Interest rate smoothing: monetary policy inertia or unobserved variables? Contributions to Macroeconomics, Working paper series 25B, European Central Bank.
9. Granger, Clive J. and Ramu Ramanathan (1984) Improved methods of combining forecasts. Journal of Forecasting 3, 197-204.
10. Gürkaynak, Refet S., Brian Sack and Eric Swanson (2002) Market-Based Measures of Monetary Policy Expectations. Finance and Economics Discussion paper 2002-40, Board of Governors of the Federal Reserve System.
11. Rudebusch, Glenn D. (2002a) Assessing nominal income rules for monetary policy with model and data uncertainty. Economic Journal 112, 1-31.
12. Rudebusch, Glenn D. (2002b) Term structure evidence on interest rate smoothing and monetary policy inertia. Journal of Monetary Economics 49, 1161-1187.
13. Rudebusch, Glenn D. and Tao Wu (2003) A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy. Working paper 2003-17, Federal Reserve Bank of San Francisco.
14. Shiller, R.J. (1990) The term structure of interest rates. In B.M. Friedman and G.H. Hahn (eds.), Handbook of Monetary Economics, Amsterdam: Elsevier Science.
15. Söderström, Ulf, Paul Söderlind and Anders Vredin (2005). New-Keynesian Models and Monetary Policy: A Reexamination of the Stylized Facts. Scandinavian Journal of Economics (In press).
16. Svensson, Lars E.O. (2003) What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy Through Targeting Rules. Journal of Economic Literature 41, 426-477.
17. Taylor, John B. (1993) Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy 39, 195-214.