Arbeitspapier
Risk Management-Driven Policy Rate Gap
We employ real-time data available to the US monetary policy makers to estimate a Taylor rule augmented with a measure of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan-Bernanke period only. Focusing on this period, the “risk-management” approach is found to be responsible for monetary policy easings for up to 75 basis points of the federal funds rate.
- Language
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Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 7177
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: General
Money and Interest Rates: General
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
- Subject
-
risk management-driven policy rate gap
uncertainty
monetary policy
Taylor rules
real-time data
- Event
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Geistige Schöpfung
- (who)
-
Caggiano, Giovanni
Castelnuovo, Efrem
Nodari, Gabriela
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caggiano, Giovanni
- Castelnuovo, Efrem
- Nodari, Gabriela
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2018
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