Monetary Policy and the Fisher Effect
Journal
Journal of Policy Modeling
ISSN
0161-8938
ISSN-Digital
1873-8060
Type
journal article
Date Issued
2001-07-01
Author(s)
Abstract
Historical estimates of the informational content in the yield curve may not be relevant after a change in monetary policy. This study uses a small dynamic rational expectations model with staggered price setting to study how monetary policy affects the relation between nominal interest rates, inflation expectations, and real interest rates. The benchmark parameters, including the Fed's loss function parameters, are estimated by maximum likelihood on quarterly U.S. data. The policy experiments include stronger inflation targeting and more active monetary policy.
Language
English
Keywords
Optimal monetary policy
inflation expectations
forward interest rates
Kalman filter estimation
HSG Classification
not classified
Refereed
No
Publisher
Elsevier North-Holland
Publisher place
New York, NY
Volume
23
Number
5
Start page
491
End page
495
Pages
5
Subject(s)
Division(s)
Eprints ID
8741
File(s)![Thumbnail Image]()
Name
FisherMP199903.pdf
Size
77.63 KB
Format
HTML
Checksum (MD5)
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