How to order
IMF Publications

Working Papers in full text
2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All


Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile



Monetary Policy Rules and the U.S. Business Cycle: Evidence and Implications

Author/Editor: Rabanal, Pau
Authorized for Distribution: September 1, 2004
Electronic Access: Free Full Text (PDF file size is 395KB)
Use the free Adobe Acrobat Reader to view this PDF file.
 
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.

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.
 
Order a print copy
Series: Working Paper No. 04/164
Subject(s): Business cycles | United States | Monetary Policy | Economic models
Author's keyword(s): Switching Regime Models | Time-Varying Coefficients | Taylor Rule
 
English  
    Published:   September 1, 2004        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA1642004   Pages:   26
    Price:   US$15.00 (Academic Rate: US$15.00 )
       
     
Please address any questions about this title to publications@imf.org.