How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule

Bibliographic Details
Main Author: Gabriel, Vasco J.
Publication Date: 2008
Other Authors: Levine, Paul, Spencer, Christopher
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/1822/11685
Summary: We estimate an alternative type of monetary policy rule, termed Calvo rule, according to which the central bank is assumed to target a discounted infinite sum of future expected inflation. Compared to conventional inflation forecast-based rules, which are typically of the Taylor-type with discrete forward looking horizons, this class of rule is less prone to the problem of indeterminacy. Parameter estimates obtained from GMM estimation provide support for Calvo-type rules, suggesting that the Federal Reserve targeted a mean forward horizon of between 4 and 8 quarters.
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spelling How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ ruleCalvo-type interest rulesInflation forecast based rulesGMMIndeterminacyWe estimate an alternative type of monetary policy rule, termed Calvo rule, according to which the central bank is assumed to target a discounted infinite sum of future expected inflation. Compared to conventional inflation forecast-based rules, which are typically of the Taylor-type with discrete forward looking horizons, this class of rule is less prone to the problem of indeterminacy. Parameter estimates obtained from GMM estimation provide support for Calvo-type rules, suggesting that the Federal Reserve targeted a mean forward horizon of between 4 and 8 quarters.ESRC - RES-061-25-0115.Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoGabriel, Vasco J.Levine, PaulSpencer, Christopher20082008-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/11685eng“NIPE - Working Paper Series”. 9 (2008) 1-10.info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-11T05:47:05Zoai:repositorium.sdum.uminho.pt:1822/11685Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T15:30:05.950750Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
title How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
spellingShingle How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
Gabriel, Vasco J.
Calvo-type interest rules
Inflation forecast based rules
GMM
Indeterminacy
title_short How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
title_full How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
title_fullStr How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
title_full_unstemmed How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
title_sort How forward-looking is the fed? Direct estimates from a ‘Calvo-type’ rule
author Gabriel, Vasco J.
author_facet Gabriel, Vasco J.
Levine, Paul
Spencer, Christopher
author_role author
author2 Levine, Paul
Spencer, Christopher
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Gabriel, Vasco J.
Levine, Paul
Spencer, Christopher
dc.subject.por.fl_str_mv Calvo-type interest rules
Inflation forecast based rules
GMM
Indeterminacy
topic Calvo-type interest rules
Inflation forecast based rules
GMM
Indeterminacy
description We estimate an alternative type of monetary policy rule, termed Calvo rule, according to which the central bank is assumed to target a discounted infinite sum of future expected inflation. Compared to conventional inflation forecast-based rules, which are typically of the Taylor-type with discrete forward looking horizons, this class of rule is less prone to the problem of indeterminacy. Parameter estimates obtained from GMM estimation provide support for Calvo-type rules, suggesting that the Federal Reserve targeted a mean forward horizon of between 4 and 8 quarters.
publishDate 2008
dc.date.none.fl_str_mv 2008
2008-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/11685
url http://hdl.handle.net/1822/11685
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv “NIPE - Working Paper Series”. 9 (2008) 1-10.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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