Please use this identifier to cite or link to this item:
|Title:||Estimating the Taylor Rule in the time-frequency domain|
|Author(s):||Conraria, Luís Aguiar|
Martins, Manuel M. F.
Soares, M. J.
Partial wavelet coherency
|Publisher:||Universidade 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.|
|Appears in Collections:||NIPE - Documentos de Trabalho|