Time Variation in an Optimal Asymmetric Preference Monetary Policy Model


Autoria(s): Cassou, Steven P.; Vázquez Pérez, Jesús
Data(s)

08/10/2012

08/10/2012

2012

Resumo

This paper considers a time varying parameter extension of the Ruge-Murcia (2003, 2004) model to explore whether some of the variation in parameter estimates seen in the literature could arise from this source. A time varying value for the unemployment volatility parameter can be motivated through several means including variation in the slope of the Phillips curve or variation in the preferences of the monetary authority.We show that allowing time variation for the coefficient on the unemployment volatility parameter improves the model fit and it helps to provide an explanation of inflation bias based on asymmetric central banker preferences, which is consistent across subsamples.

Identificador

1988-088X

http://hdl.handle.net/10810/8762

Idioma(s)

eng

Publicador

University of the Basque Country, Department of Foundations of Economic Analysis II

Relação

DFAEII 2012.08

Direitos

info:eu-repo/semantics/openAccess

Palavras-Chave #asymmetric preferences #time varying parameter #conditional unemployment volatility
Tipo

info:eu-repo/semantics/workingPaper