Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/72646
Registo completo
Campo DC | Valor | Idioma |
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dc.contributor.author | Aguiar-Conraria, Luís | por |
dc.contributor.author | Martins, Manuel M. F. | por |
dc.contributor.author | Soares, M. J. | por |
dc.date.accessioned | 2021-05-17T09:18:50Z | - |
dc.date.available | 2021-05-17T09:18:50Z | - |
dc.date.issued | 2018-09 | - |
dc.identifier.issn | 0164-0704 | por |
dc.identifier.uri | https://hdl.handle.net/1822/72646 | - |
dc.description.abstract | We present the first assessment of U.S. monetary policy across time and frequencies within the Taylor Rule framework. We derive a novel wavelet tool - the partial wavelet gain - to estimate a parametric equation relating the federal funds rate to inflation and the output gap. We detect a gradual shift of the focus of policy from short cycles to intermediate cycles at the beginning of the Great Moderation, followed by a strengthening of policy's reaction to long fluctuations once credibility was attained, and, during the Great Recession, a renewed interest in shorter output cycles. We document that the violation of the Taylor principle until the early 1980s and the strengthening of the reaction of policy to inflation thereafter were more marked at intermediate than at long cycles. Overall, we also detect lead-lag relationships between the policy rate and inflation and the output gap that differ along time and cyclical frequencies. | por |
dc.description.sponsorship | - Research at NIPE was carried out within the funding with COMPETE reference number POCI- 01-0145-FEDER-006683 (UID/ECO/03182/2013), with the FCT/MEC's (Fundacao para a Ciencia e a Tecnologia, I.P.) financial support through national funding and by the ERDF through the Operational Programme on "Competitiveness and Internationalization - COMPETE 2020 under the PT2020 Partnership Agreement.Research at Cef.up has been financed by Portuguese Public Funds through FCT (Fundacao para a Ciencia e a Tecnologia) and by the European Regional Development Fund through COMPETE 2020 - Programa Operacional Competitividade e Internacionalizacao - in the framework of the project UID/ECO/04105/2013. | por |
dc.language.iso | eng | por |
dc.publisher | Elsevier 1 | por |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147291/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147288/PT | por |
dc.rights | openAccess | por |
dc.subject | Monetary policy | por |
dc.subject | Taylor rule | por |
dc.subject | Partial wavelet gain | por |
dc.subject | Time-frequency estimation | por |
dc.subject | Continuous wavelet transform | por |
dc.title | Estimating the Taylor rule in the time-frequency domain | por |
dc.type | article | - |
dc.peerreviewed | yes | por |
dc.relation.publisherversion | https://www.sciencedirect.com/science/article/pii/S0164070417304044 | por |
oaire.citationStartPage | 122 | por |
oaire.citationEndPage | 137 | por |
oaire.citationVolume | 57 | por |
dc.date.updated | 2021-05-15T17:58:03Z | - |
dc.identifier.doi | 10.1016/j.jmacro.2018.05.008 | por |
dc.subject.wos | Social Sciences | - |
sdum.export.identifier | 10685 | - |
sdum.journal | Journal of Macroeconomics | por |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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LAC_MMF_MJS_TaylorRule.pdf | 1,86 MB | Adobe PDF | Ver/Abrir |