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Author/Editor:
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Rabanal, Pau
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Publication Date:
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September 01, 2004
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Electronic Access:
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Free Full text
(PDF file size is 385KB).
Use the free
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
This paper estimates Taylor-type interest rates for the United States allowing for both time and state dependence. It provides evidence that the coefficients of the Taylor rule change significantly over time, and that the behavior of the Federal Reserve over the cycle can be explained using a two-state switching regime model. During expansions, the Federal Reserve follows a rule that can be characterized as inflation targeting with a high degree of interest rate smoothing. During recessions, the Federal Reserve targets output growth and conducts policy in a more active manner. The implications of conducting this type of policy are analyzed in a small scale new Keynesian model.
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Order a print copy
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Series:
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Working Paper No. 04/164
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Subject(s):
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Business cycles | United States | Monetary Policy | Economic models
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Author's Keyword(s):
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Switching Regime Models | Time-Varying Coefficients | Taylor Rule |
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English
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Publication Date:
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September 01, 2004
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ISBN/ISSN:
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1934-7073
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Format:
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Paper
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Stock No:
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WPIEA1642004
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Pages:
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26
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Price:
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US$15.00 )
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Please address any questions about this title to
publications@imf.org
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