Estimating the Taylor rule in the time-frequency domain

By Luís Aguiar-Conraria, M. Martins, Maria Joana Soares. Journal of macroeconomics, 2018

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We assess U.S. monetary policy across time and frequencies in the framework of the Taylor Rule (TR). With that purpose, we derive a multivariate generalization of the wavelet gain ? the partial wavelet gain ? a new tool which allows us, for the ?rst time, to estimate the TR coe¢ cients in the time-frequency domain. By using this and other continuous wavelet tools, we reach a number of results regarding the evolution of the TR coe¢ cients along time that also have a frequency-domain nature ? for example, the in?ation coe¢ cient has violated the Taylor principle unevenly across frequencies, and the evidence of a modi?ed TR with a unit slope on output since 2009 is also uneven along time and across frequencies.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/cf15f701de77ef6402606fc5047ba0975be61775