Has US monetary policy tracked the efficient interest rate?

• 成果类型: Article
• 署名作者: Curdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; Tambalotti, Andrea
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of Oxford; University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.09.004
• 发表日期: 2015
• 页码: 72-83
• 关键词: US monetary policy; Interest rate rules; DSGE models; Bayesian model comparison

摘要

Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of monetary policy, in which the interest rate tracks the Wicksellian efficient rate of return as the primary indicator of real activity, fits the U.S. data better than otherwise identical Taylor rules. This result holds for a variety of specifications of the other ingredients of the policy rule, including the output gap, and of private agents' behavior. (C) 2014 Elsevier B.V. All rights reserved.