dc.contributor.author | Vázquez Pérez, Jesús | |
dc.date.accessioned | 2012-02-02T12:47:27Z | |
dc.date.available | 2012-02-02T12:47:27Z | |
dc.date.issued | 2006 | |
dc.identifier.issn | 1988-088X | |
dc.identifier.uri | http://hdl.handle.net/10810/6652 | |
dc.description.abstract | This paper estimates a standard version of the New Keynesian Monetary (NKM) model augmented with financial variables in order to analyze the relative importance of stock market returns and term spread in the estimated U.S. monetary policy rule. The estimation procedure implemented is a classical structural method based on the indirect inference principle. The empirical results show that the Fed seems to respond to the macroeconomic outlook and to the stock market return but does not seem to respond to the term spread. Moreover, policy inertia and persistent policy shocks are also significant features of the estimated policy rule. | es |
dc.description.sponsorship | Financial support from Ministerio de Ciencia y Tecnología, Universidad del País Vasco and Fundación Séneca (Spain) through projects SEJ2004-04811/ECON, 9/UPV00035.321-13511/2001 and I02937/PHCS/05, respectively, is gratefully acknowledged. | es |
dc.language.iso | eng | es |
dc.publisher | University of the Basque Country, Department of Foundations of Economic Analysis II | es |
dc.relation | info:eu-repo/grantAgreement/MCYT/SEJ2004-04811-ECON | |
dc.relation.ispartofseries | DFAEII 2006.06 | |
dc.rights | info:eu-repo/semantics/openAccess | es |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/ | * |
dc.subject | NKM model | es |
dc.subject | stock market returns | es |
dc.subject | policy rule | es |
dc.title | The Importance of Stock Market Returns in Estimated Monetary Policy Rules: a Structural Approach | es |
dc.type | info:eu-repo/semantics/workingPaper | es |
dc.rights.holder | Attribution-NonCommercial-ShareAlike 3.0 Unported | * |
dc.subject.jel | C32 | |
dc.subject.jel | E44 | |
dc.subject.jel | E52 | |
dc.identifier.repec | RePEc:ehu:dfaeii:2006.06 | es |
dc.departamentoes | Fundamentos del análisis económico II | es_ES |
dc.departamentoeu | Ekonomia analisiaren oinarriak II | es_ES |
dc.subject.categoria | MACROECONOMICS AND MONETARY ECONOMICS | |
dc.subject.categoria | ECONOMICS, ECONOMETRICS AND FINANCE | |
dc.subject.categoria | MATHEMATICAL AND QUANTITATIVE METHODS | |