Estimating the market-perceived monetary policy rule
By: James D. Hamilton, Seth Pruitt, Scott Borger
Contributors: Pruitt, Seth; Borger, Scott C. (Scott Charles), 1976-; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16412; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16412.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "We introduce a novel method for estimating a monetary policy rule using macroeconomic news.  We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy.  Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude.  These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 12/28/2010.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.