English, Article, Journal or magazine article edition: Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies. Jondeau, E.; Le Bihan, H.

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Bookmark: http://trove.nla.gov.au/version/147944
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies.
Author
  • Jondeau, E.
  • Le Bihan, H.
Physical Description
  • preprint
Notes
  • In this paper, we estimate two small, forward-looking, macroeconomic models for the US and Germany and we compare the implied optimal monetary policy rules. Both models have a standard structure: an I-S curve, a Phillips curve, a short term interest-rate rule and a long term interest rate determined by the Expectations Hypothesis. They are intended to fit the data while allowing for some forward-looking behavior. They are estimated from 1968 to 1998, using the full-information maximum-likelihood procedure, so that forward-looking expectations are fully model-consistent. In order to evaluate monetary policy, we compute optimal policy frontiers and we perform some simulations of the model. German optimal monetary policy is found to require a more persistent and slightly stronger response to inflation and output than the US optimal policy.
  • Forward-looking model ; monetary policy rules
  • RePEc:bfr:banfra:76
Language
  • English
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