Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
DOI10.1515/snde-2017-0092OpenAlexW2792775032MaRDI QIDQ2691784
Anh D. M. Nguyen, Efthymios G. Pavlidis, David A. Peel
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2017-0092
stochastic volatilityparticle filterTaylor rulereal-time datatime-varying parameter modelmonetary policy rulesasymmetric objective
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Macroeconomic theory (monetary models, models of taxation) (91B64)
Uses Software
Cites Work
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