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| Jahyun Koo, Ivan Paya and David A. Peel |
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| ''Further empirical evidence of nonlinearity in the us monetary policy rule'' |
| ( 2010, Vol. 30 No.3 ) |
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| Given conflicting results on whether the US monetary policy rule exhibited nonlinearity in the post-war period we employ a new Granger non-causality nonlinearity test and non-parametric procedures to re-examine the issue. Both procedures suggest that the Fed followed a nonlinear Taylor rule with respect to expected inflation and expected output gap prior to 1979 but not post 1982. |
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| Keywords: Taylor rule, nonlinearity, Granger non-causality nonlinearity, non-parametric |
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
C2 - Single Equation Models; Single Variables: General |
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| Manuscript Received : May 19 2010 | | Manuscript Accepted : Sep 23 2010 |
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