1.

Record Nr.

UNINA9910818982603321

Autore

Choi Woon Gyu <1960->

Titolo

Dissecting Taylor rules in a structural VAR / / Woon Gyu Choi and Yi Wen

Pubbl/distr/stampa

[Washington, D.C.], : International Monetary Fund, 2010

ISBN

1-4623-1640-9

9786612845284

1-4527-0464-3

1-4519-6229-0

1-282-84528-4

Edizione

[1st ed.]

Descrizione fisica

26 p. : ill

Collana

IMF working paper ; ; WP/10/20

Altri autori (Persone)

WenYi

Disciplina

332.15238

Soggetti

Monetary policy - Mathematical models

Taylor's rule

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Bibliographic Level Mode of Issuance: Monograph

Nota di bibliografia

Includes bibliographical references.

Nota di contenuto

Intro -- Contents -- I. Introduction -- II. Econometric Framework for New Taylor Rules -- A. Identification -- B. Uncovering New Taylor Rules -- III. Empirical Results -- A. Data -- B. Impulse Responses and Historical Decompositions -- C. Spectra of Structural Shocks -- D. Uncovering and Dissecting Taylor Rules -- IV. Counterfactual Experiments -- V. Conclusion -- References -- Tables -- 1. Spectral Decompositions of Volatility at Frequency Ranges -- 2. Policy Coefficients in New Taylor Rules -- 3. Conventional Taylor Rules: GMM Estimation -- Figures -- 1. Output Growth, Inflation, and Interest Rate -- 2. Impulse Responses to Shocks -- 3. Historical Decompositions of Variables by Shocks and Distributions -- 4. Time Profiles of Taylor Rule Coefficients -- 5. Effects of the Contemporaneous Rule: Counterfactual Simulation -- 6. Impacts of the Contemporaneous Rule on Variance: Spectral Decomposition.

Sommario/riassunto

This paper uncovers Taylor rules from estimated monetary policy reactions using a structural VAR on U.S. data from 1959 to 2009. These Taylor rules reveal the dynamic nature of policy responses to different structural shocks. We find that U.S. monetary policy has been far more



responsive over time to demand shocks than to supply shocks, and more aggressive toward inflation than output growth. Our estimated dynamic policy coefficients characterize the style of policy as a "bang-bang" control for the pre-1979 period and as a gradual control for the post-1979 period.