Term structure and the estimated monetary policy rule in the Eurozone

  1. María-Dolores, Ramón
  2. Vázquez, Jesús
Aldizkaria:
Spanish economic review

ISSN: 1435-5469

Argitalpen urtea: 2008

Alea: 10

Zenbakia: 4

Orrialdeak: 251-277

Mota: Artikulua

DOI: 10.1007/S10108-008-9042-X DIALNET GOOGLE SCHOLAR

Beste argitalpen batzuk: Spanish economic review

Garapen Iraunkorreko Helburuak

Laburpena

In this paper we estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure in order to analyze two issues. First, we analyze the effect of introducing an explicit term structure channel in the NKM model on the estimated parameter values of the model, with special emphasis on the interest rate smoothing parameter using data for the Eurozone. Second, we study the ability of the model to reproduce some stylized facts such as highly persistent dynamics, the weak comovement between economic activity and inflation, and the positive, strong comovement between interest rates observed in actual Eurozone data. The Sect. 3 implemented is a classical structural method based on the indirect inference principle.

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