Estimating the Taylor Rule in the Time-Frequency Domain

Luís Aguiar-Conraria (), Manuel Martins and Maria Joana Soares ()
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Maria Joana Soares: NIPE and Department of Mathematics and Applications, University of Minho

CEF.UP Working Papers from Universidade do Porto, Faculdade de Economia do Porto

Abstract: 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.

Keywords: Monetary Policy; Taylor Rule; Partial Wavelet Gain; Time-Frequency Estimation; Continuous Wavelet Transform. (search for similar items in EconPapers)
JEL-codes: C49 E43 E52 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2016-04
New Economics Papers: this item is included in nep-his, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Estimating the Taylor rule in the time-frequency domain (2018)
Working Paper: Estimating the Taylor Rule in the Time-Frequency Domain (2018)
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