Dissecting Taylor Rules in a Structural VAR / / Woon Choi, Yi Wen

• Autore: Choi Woon
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2010
• Edizione: 1st ed.
• Descrizione fisica: 26 p. : ill
• Disciplina: 332.15238
• Soggetto topico: Monetary policy - Mathematical models; Taylor's rule; Banks and Banking; Inflation; Macroeconomics; Economic Theory; Model Construction and Estimation; Monetary Policy; Price Level; Deflation; Macroeconomics: Production; Agriculture: Aggregate Supply and Demand Analysis; Prices; Interest Rates: Determination, Term Structure, and Effects; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data); Economic theory & philosophy; Banking; Economic growth; Production growth; Supply shocks; Central bank policy rate; Business cycles; Production; Economic theory; Financial services; Supply and demand; Interest rates
• Soggetto geografico: United States
• Altri autori: WenYi
• 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.
• Titolo autorizzato: Dissecting Taylor Rules in a Structural VAR
• ISBN: 1-4623-1640-9; 9786612845284; 1-4527-0464-3; 1-4519-6229-0; 1-282-84528-4
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910818982603321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2010/020