Estimating the market-perceived monetary policy rule
by James D. Hamilton
"We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target"--National Bureau of Economic Research web site.
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Estimating the market-perceived monetary policy rule
2010, National Bureau of Economic Research
electronic resource /
in English
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Title from PDF file as viewed on 2/15/2011.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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