9 records from EconBiz based on author Name

1. Has U.S. monetary policy tracked the efficient interest rate?

Cúrdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; Tambalotti, Andrea;
2014
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:

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2. Evaluating interest rate rules in an estimated DSGE model

abstract

The empirical DSGE (dynamic stochastic general equilibrium) literature pays surprisingly little attention to the behavior of the monetary authority. Alternative policy rule specifications abound, but their relative merit is rarely discussed. We contribute to filling this gap by comparing the fit of a large set of interest rate rules (fifty-five in total), which we estimate within a simple New Keynesian model. We find that specifications in which monetary policy responds to inflation and to deviations of output from its efficient level--the one that would prevail in the absence of distortions--have the worst fit within the set we consider. Policies that respond to measures of the output gap based on statistical filters perform better, but the best-fitting rules are those that also track the evolution of the model-consistent efficient real interest rate. -- output gap ; HP filter ; efficient real interest rate ; Bayesian model comparison

Cúrdia, Vasco; Ferrero, Andrea; Cee Ng, Ging; Tambalotti, Andrea;
2011
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link

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3. Has US monetary policy tracked the efficient interest rate?

Cúrdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; Tambalotti, Andrea;
2015
Type: Aufsatz in Zeitschrift; Article in journal;

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4. Has U.S. monetary policy tracked the efficient interest rate?

Cúrdia, Vasco; Ferrero, Andrea; Tambalotti, Andrea; Ng, Ging Cee;
2014
Availability:

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5. Has U.S. Monetary Policy Tracked the Efficient Interest Rate?

abstract

Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of the monetary policy reaction function, in which the interest rate tracks the evolution of a Wicksellian efficient rate of return as the primary indicator of real activity, fits the U.S. data better than otherwise identical Taylor rules. This surprising result holds for a wide variety of specifications of the other ingredients of the policy rule and of approaches to the measurement of the output gap. Moreover, it is robust across two different models of private agents' behavior

Cúrdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; Tambalotti, Andrea;
2014
Availability: Link Link
Citations: 4 (based on OpenCitations) Cited By

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6. Evaluating interest rate rules in an estimated DSGE model

Cúrdia, Vasco; Ferrero, Andrea; Cee Ng, Ging; Tambalotti, Andrea;
2011
Type: Working Paper;
Availability:

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7. Evaluating interest rate rules in an estimated DSGE model

Cúrdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; Tambalotti, Andrea;
2011
Availability: Link

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8. Evaluating Interest Rate Rules in an Estimated DSGE Model

abstract

The empirical DSGE (dynamic stochastic general equilibrium) literature pays surprisingly little attention to the behavior of the monetary authority. Alternative policy rule specifications abound, but their relative merit is rarely discussed. We contribute to filling this gap by comparing the fit of a large set of interest rate rules (fifty-five in total), which we estimate within a simple New Keynesian model. We find that specifications in which monetary policy responds to inflation and to deviations of output from its efficient level - the one that would prevail in the absence of distortions - have the worst fit within the set we consider. Policies that respond to measures of the output gap based on statistical filters perform better, but the best-fitting rules are those that also track the evolution of the model-consistent efficient real interest rate

Cúrdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; Tambalotti, Andrea;
2011
Availability: Link Link
Citations: 10 (based on OpenCitations) Cited By

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9. Has U.S. monetary policy tracked the efficient interest rate?

Cúrdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; Tambalotti, Andrea;
2015
Availability: Link

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