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Author Mandler, Martin
Source EconStor
Content type Text
Publisher Univ., Dep. of Business Administration & Economics
File Format PDF
Language English
Subject Domain (in DDC) Social sciences ♦ Economics
Subject Keyword Monetary policy ♦ reaction functions ♦ state-space models ♦ output-gap forecasts ♦ inflation forecasts ♦ Monetary Policy ♦ Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ♦ Forecasting Models; Simulation Methods
Abstract This paper shows how to estimate forecast uncertainty about future short-term interest rates by combining a time-varying Taylor rule with an unobserved components model of economic fundamentals. Using this model I separate interest rate uncertainty into economically meaningful components that represent uncertainty about future economic conditions and uncertainty about future monetary policy. Results from estimating the model on U.S. data suggest important changes in uncertainty about future short-term interest rates over time and highlight the relative importance of the different elements which underlie interest rate uncertainty for the U.S.
Part of series Joint discussion paper series in economics x2009,45
Learning Resource Type Article
Publisher Date 2009-01-01
Publisher Place Marburg
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