Estimating the Taylor Rule in the time-frequency domain

We assess U.S. monetary policy across time and frequencies in the framework of the Taylor Rule (TR). First, we portray the deviations between policy interest rates and the TR-prescribed rates with a set of continuous wavelet tools, comprising the coherency, phase-diference and gain. Then, using thei...

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Bibliographic Details
Main Author: Conraria, Luís Aguiar (author)
Other Authors: Martins, Manuel M. F. (author), Soares, M. J. (author)
Format: workingPaper
Language:eng
Published: 2014
Subjects:
Monetary policy
Taylor Rule
Continuous wavelet
Partial wavelet coherency
Time-frequency estimation
Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/1822/30664
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/30664

Internet

http://hdl.handle.net/1822/30664

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