Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model using Ex-Post Data

By Chang-Jin Kim, Charles R. Nelson. 2006

232 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7aee53452ef08bc3475676cb3116974f75799fd6

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In Economics and Econometrics

Citations in the corpus

Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics (2013, unknown): “els is provided by Svensson and Williams (2007). This method returns the same solution obtained with the FWZ algorithm when the equilibrium is unique. However, Svensson and Williams (2007) do not provide conditions for uniqueness.”
Monetary/Fiscal Policy Mix and Agents’ Beliefs (2017, methodology): “We depart from other papers in the literature that reconstruct the series for government debt using the interest payments reported in the NIPA tables (see, among others, Leeper et al. (2009)).”
U.S. Evolving Macroeconomic Dynamics: A Structural Investigation (2007, result): “25The results in the first two panels of Figure 6 are qualitatively in line with those reported in Kim and Nelson (2006)–see their Figures 2 and 3.”
Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? (2011, background): “When the real-time forecast is not derived under the assumption that nominal interest rates will remain constant within the forecasting horizon (Boivin, 2006) or in the case of measurement error and heteroscedasticity (Kim et al., 2006).”
Battese-coelli estimator with endogenous regressors (2010, background): “Contact: e-mail:levent.kutlu@rice.edu, Tel: +1 713 348 2304 1See also Kim (2006), Kim and Nelson (2006), and Kutlu and Sickles (2010).”
Exchange rate predictability in a changing world (2014, unknown): “The data comprises quarterly figures spanning 1973Q1:2013Q1 from 18 OECD countries: United States, United Kingdom, Switzerland, Sweden, Spain, Norway, Netherlands, Korea, Italy, Japan, Germany, France, Finland, Denmark, Canada, Belgium, Austria and Australia. The main source is the IMF’s (2012) Inte”