Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/30664

TitleEstimating the Taylor Rule in the time-frequency domain
Author(s)Conraria, Luís Aguiar
Martins, Manuel M. F.
Soares, M. J.
KeywordsMonetary policy
Taylor Rule
Continuous wavelet
Partial wavelet coherency
Time-frequency estimation
Issue date2014
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Abstract(s)We assess U.S. monetary policy across time and frequencies in the framework of the Taylor Rule (TR). First, we portray the deviations between policy interest rates and the TR-prescribed rates with a set of continuous wavelet tools, comprising the coherency, phase-diference and gain. Then, using their multivariate counterparts, including a multivariate generalization of the wavelet gain, we estimate the TR coefficients in the time-frequency domain. We uncover a set of new stylized facts of the TR implicit in U.S. monetary policy that would not be possible to detect with pure time- or frequency-domain methods, nor with the time-frequency domain tools available thus far.
TypeWorking paper
URIhttp://hdl.handle.net/1822/30664
Publisher versionhttp://www.nipe.eeg.uminho.pt/Uploads/WP_2014/NIPE_WP_18_2014.pdf
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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