Arbeitspapier
Decomposing Federal Funds Rate forecast uncertainty using real-time data
Using real-time data I estimate out-of-sample forecast uncertainty about the Federal Funds Rate. Combining a Taylor rule with a model of economic fundamentals I disentangle economically interpretable components of forecast uncertainty: uncertainty about future economic conditions and uncertainty about future monetary policy. Uncertainty about U.S. monetary policy fell to unprecedented low levels in the 1980s and remained low while uncertainty about future output and inflation declined only temporarily. This points to an important role of increased predictability of monetary policy in explaining the decline in macroeconomic volatility in the U.S. since the mid-1980s.
- Sprache
-
Englisch
- Erschienen in
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 2009,47
- Klassifikation
-
Wirtschaft
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
- Thema
-
monetary policy reaction function
interest rate uncertainty
state-space model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mandler, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
Philipps-University Marburg, Faculty of Business Administration and Economics
- (wo)
-
Marburg
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mandler, Martin
- Philipps-University Marburg, Faculty of Business Administration and Economics
Entstanden
- 2009
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