Journal article

Publication year: 2012

Pages: 228-245

Journal: The North American Journal of Economics and Finance

Volume number: 23

Issue number: 2

ISSN: 1062-9408

eISSN: 1879-0860

DOI Link: https://doi.org/10.1016/j.najef.2012.01.003

Publisher: Elsevier

Abstract: 
This paper studies uncertainty about out-of-sample interest rate forecasts implied by an estimated Taylor rule. It is shown that the Taylor rule leads to a decomposition of forecast uncertainty into an element that depends on uncertainty about the future state of the economy and another element that is related to uncertainty about the monetary policy reaction function of the Federal Reserve. Uncertainty about one-quarter ahead Federal Funds Rate forecasts from 1975 to 2007 is estimated and analyzed using a real-time data set for the U.S. (C) 2012 Elsevier Inc. All rights reserved.

Harvard Citation style: Mandler, M. (2012) Decomposing Federal Funds Rate forecast uncertainty using time-varying Taylor rules and real-time data, North American Journal of Economics and Finance, 23(2), pp. 228-245. https://doi.org/10.1016/j.najef.2012.01.003

APA Citation style: Mandler, M. (2012). Decomposing Federal Funds Rate forecast uncertainty using time-varying Taylor rules and real-time data. North American Journal of Economics and Finance. 23(2), 228-245. https://doi.org/10.1016/j.najef.2012.01.003