Estimating the Taylor Rule in the Time-Frequency Domain

We present the first assessment of U.S.monetary policy across time and frequencies within the Taylor Rule framework. We derive a novel wavelet tool - the partial wavelet gain - to estimate a parametric equation relating the federal funds rate to infation and the output gap. We detect a gradual shift...

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Bibliographic Details
Main Author: Aguiar-Conraria, Luís (author)
Other Authors: Martins, Manuel M. F. (author), Soares, M. J. (author)
Format: workingPaper
Language:eng
Published: 2018
Subjects:
Monetary Policy
Taylor Rule
Partial Wavelet Gain
Time-Frequency Estimation
Continuous Wavelet Transform
Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/1822/60224
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/60224

Internet

http://hdl.handle.net/1822/60224

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