Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data

By Jean Boivin. 2006

292 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e39e172fbde326fe0763a335eb67b8afa011e4bb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

No-Arbitrage Taylor Rules (2007, methodology): “rt = δ0 + δ1,ggt + δ1,ππt + ε MP,T t , (9)”
Optimal Inflation Targeting Rules (2003, unknown): “…of 1980 because several empirical studies have identified a significant change in monetary policy around that period (see, e.g., Clarida, Galí, and Gertler 2000; Boivin 2003; Boivin and Giannoni 2003; Cogley and Sargent 2001, 2002).34 Table 3.2 reports the coefficients of the estimated policy rule.”
Averaging Forecasts from Vars with Uncertain Instabilities (2006, unknown): “, Kozicki and Tinsley (2001, 2002), Cogley and Sargent (2005), and Boivin (2006)).”
Confidence Sets for the Date of a Single Break in Linear Time Series Regressions (2004, background): “Boivin (2003) finds based on tests and a robustness analysis that a fixed ’Volker’ break does not capture well changes in the Taylor rule relationships.”
Exchange rate predictability in a changing world (2014, unknown): “In the context of fundamentals determined by Taylor rules, Boivin (2006), Kim and Nelson (2006), and Cogley et al. (2010) find that the U.S. Federal Reserve conduct of monetary policy is better characterized by a changing-coefficients Taylor rule.”
Fiscal Policy in Real Time (2012, unknown): “Ironside and Tetlow (2005), Boivin (2005) , Giannone, Reichlin and Sala (2005)).”
Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? (2011, unknown): “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).”
Why are Target Interest Rate Changes so Persistent (2012, unknown): “However, Boivin (2006), Kozicky and Tinsley (2009) and Coibion and Gorodnichenko (2011) estimate versions of the baseline Taylor rule with time-varying coefficients and document non-trivial changes in the intercept, and therefore in the targets of the FOMC.7 Kozicki and Tinsley (2009) and Coibion…”
Innocent Bystanders? Monetary Policy and Inequality in the U.S. (2012, unknown): “Each time-varying coefficient is assumed to follow a random walk process as in Boivin (2006).”
Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model using Ex-Post Data (2006, background): “It is postulated that, each period, the Fed adjusts the federal funds rate to eliminate a fraction (1 ¡ μt) of the gap between its current target level and its past level (interest rate smoothing), according to: rt = (1¡ μt)r¤ t + μtrt¡1 +mt; 0 < μt < 1: (2)”