All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

 
Jahyun Koo, Ivan Paya and David A. Peel
 
''Further empirical evidence of nonlinearity in the us monetary policy rule''
( 2010, Vol. 30 No.3 )
 
 
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.
 
 
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
 
Manuscript Received : May 19 2010 Manuscript Accepted : Sep 23 2010

  This abstract has been downloaded 1913 times                The Full PDF of this paper has been downloaded 153794 times