G2TT
来源类型Discussion paper
规范类型论文
来源IDDP2164
DP2164 Search Unemployment with Advance Notice
Pietro Garibaldi
发表日期1999-06-28
出版年1999
语种英语
摘要We propose an approach to identify independently the parameters describing the structure of the economy from those describing central bank preferences. We first estimate a parsimonious structural model for US inflation, US output-gap and the world commodity price index. We then proceed to the identification of central bank preferences by estimating by GMM the Euler equations for the solution of the intertemporal optimization problem relevant to the central bank. The empirical analysis of the structural model shows that the persistency of real interest rates effects on aggregate demand is sufficient to generate an autoregressive structure in any interest rate rule. From estimation of the Euler equations, we infer that strict inflation targeting together with real interest rate smoothing delivers an optimal policy rule capable of replicating the observed path of real interest rates over the sample 1983:1 - 1998:3. Our empirical findings imply that the output gap enters into the optimal interest rate rule only as a leading indicator of future inflation, and we reject the hypothesis that output stabilization is an independent argument in the loss of function of the Fed.
主题International Macroeconomics
关键词Central bank preferences Gmm estimation of euler equations Inflation targeting
URLhttps://cepr.org/publications/dp2164
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/531272
推荐引用方式
GB/T 7714
Pietro Garibaldi. DP2164 Search Unemployment with Advance Notice. 1999.
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