Measuring the time inconsistency of US monetary policy

Economica

Volumn 75, Issue 297, 2008, Pages 22-38

  Surico, Paolo ^a,b  

^a BANK OF ENGLAND   (United Kingdom)

^b UNIVERSITY OF BARI   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

INFLATION; MONETARY POLICY; PRIVATE SECTOR; STABILIZATION; TIME SERIES ANALYSIS;

NORTH AMERICA; UNITED STATES;

EID: 37749024316     PISSN: 00130427     EISSN: 14680335     Source Type: Journal    
DOI: 10.1111/j.1468-0335.2007.00590.x     Document Type: Article

References (37)

1. Ahmed, S., Levin, A. T. and Wilson, B. A. (2004). Recent US macroeconomic stability: Good policies, good practices, or good luck? Review of Economics and Statistics, 86, 824-32.
2. Barro, R. J. and Gordon, D. (1983). A positive theory of monetary policy in a natural rate model. Journal of Political Economy, 91, 589-610.
3. Bernanke, B. and Mihov, I. (1998). Measuring monetary policy. Quarterly Journal of Economics, 63, 869-902.
4. Blinder, A. (1997). Distinguished lecture on economics and government: what central bankers could learn from academics and vice versa. Journal of Economic Perspectives, 11, 3-19.
5. Blinder, A. (1998). Central Banking in Theory and Practice. Cambridge, Mass.: MIT Press.
6. Boinet, V. and Martin, C. (2005). Targets, zones and asymmetries: A flexible nonlinear model of recent UK monetary policy. Mimeo: Brunel University.
7. Chadha, J. S. and Schellekens, P. (1999). Monetary policy loss functions: Two cheers for the quadratic. DAE Working Paper no. 99/20.
8. Clarida, R., Galí, J. and Gertler, M. (1999). The science of monetary policy: A New Keynesian perspective. Journal of Economic Literature, 27, 1661-707.
9. Cukierman, A. (2002). Are contemporary central banks transparent about economic models and objectives, and what difference does it make? Federal Reserve Bank of St Louis Review, 84, 15-45.
10. Cukierman, A. and Gerlach, S. (2003). The Inflation Bias Revisited: Theory and Some International Evidence. The Manchester School, 71, 541-565.
11. Cukierman, A., Gerlach, S. and Muscatelli, A. (2003). Do Central Banks have Precautionary Demands for Expansions and for Price Stability? Theory and Evidence. Mimeo: Tel-Aviv University. April.
12. Dolado, J. J., María-Dolores, R. and Ruge-Murcia, F. J. (2004). Nonlinear monetary policy rules: Some new evidence for the US. Studies in Nonlinear Dynamics and Econometrics, 8 (3).
13. Dolado, J. J., María-Dolores, R., Ruge-Murcia, F. J., María-Dolores, R. and Naveira, M. (2005). Are monetary-policy reaction functions asymmetric? The role of nonlinearity in the Phillips curve. European Economic Review, 49, 485-503.
14. Galí, J., Gertler, M. and Lopez-Salido, J. D. (2003). Markups, gaps, and the welfare costs of business fluctuations. Mimeo: Universitat Pompeu Fabra, October.
15. Geraats, P. (1999). Inflation and its variation: An alternative explanation. CIDER Working Paper no. C99-105.
16. Hamilton, J. D. (1996). That is what happened to the oil price-macroeconomy relationship. Journal of Monetary Economics, 38, 215-20.
17. Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50, 1029-54.
18. Ireland, P. N. (1999). Does the time consistency problem explain the behavior of US inflation? Journal of Monetary Economics, 44, 279-92.
19. Ireland, P. N. (2006). Changes in the Federal Reserve's inflation target: Causes and consequences. Mimeo: Boston College.
20. Kahneman, D. and Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47, 263-92.
21. King, R. G. (2000). The new IS-LM model: Language, logic, and limits. Federal Reserve Bank of Richmond Economic Quarterly, 86 (3), 45-103.
22. Kydland, F. and Prescott, E. (1977). Rules rather than discretion: The inconsistency of optimal plans. Journal of Political Economy, 85, 473-90.
23. Martin, C. and Milas, C. (2004). Modelling monetary policy: Inflation targeting in practice. Economica, 71, 209-21.
24. McCallum, B. T. (1997). Crucial issues concerning central bank independence. Journal of Monetary Economics, 39, 99-112.
25. Nobay, R. and Peel, D. (2003). Optimal discretionary monetary policy in a model of asymmetric central bank preferences. Economic Journal, 113, 657-65.
26. Persson, T. and Tabellini, G. (1999). Political economics and macroeconomic policy. In J. Taylor and M. Woodford (eds.), Handbook of Macroeconomics. Amsterdam: North-Holland.
27. Primiceri, G. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72, 821-52.
28. Rogoff, K. (1985). The optimal degree of commitment to a monetary target. Quarterly Journal of Economics, 100, 1169-90.
29. Ruge-Murcia, F. J. (2003). Does the Barro-Gordon model explain the behavior of US inflation? A re-examination of the empirical evidence. Journal of Monetary Economics, 50, 1375-90.
30. Sims, C. A. and Zha, T. (2006). Were there regime switches in US monetary policy? American Economic Review, 96, 54-81.
31. Staiger, D. and Stock, J. (1997). Instrumental variables regression with weak instruments. Econometrica, 65, 557-86.
32. Stock, J. and Yogo, M. (2003). Testing for weak instruments in linear IV regression. Mimeo: Harvard University, February.
33. Surico, P. (2003). Measuring the time inconsistency of US monetary policy. ECB Working Paper no. 291, December.
34. Surico, P. (2007). The Fed's monetary policy rule and US inflation: The case of asymmetric preferences. Journal of Economic Dynamics and Control, 31, 305-324.
35. Svensson, L. E. O. (1997). Optimal inflation targets, 'conservative' central banks and linear inflation contracts. American Economic Review, 87, 98-114.
36. Varian, H. (1974). A Bayesian approach to real estate assessment. In S. E. Feinberg and A. Zellner (eds.), Studies in Bayesian Economics in Honour of L. J. Savage. Amsterdam: North Holland.
37. Zellner, A. (1986). Bayesian estimation and prediction using asymmetric loss functions. Journal of the American Statistical Association, 81, 446-51.