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Nonlinear monetary policy rules: Some new evidence for the U.S. [dataset]

Harvard Dataverse (Africa Rice Center, Bioversity International, CCAFS, CIAT, IFPRI, IRRI and WorldFish)

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Title Nonlinear monetary policy rules: Some new evidence for the U.S. [dataset]
 
Identifier https://doi.org/10.7910/DVN/JH0PF4
 
Creator J. J. Dolado
R. María-Dolores Predrero
F. J. Ruge
 
Publisher Harvard Dataverse
 
Description This paper derives optimal monetary policy rules in setups where certainty equivalence does not hold because either central bank preferences are not quadratic, and/or the aggregate supply relation is nonlinear. Analytical results show that these features lead to sign and size asymmetries, and nonlinearities in the policy rule. Reduced-form estimates indicate that US monetary policy can be characterized by a nonlinear policy rule after 1983, but not before 1979. This finding is consistent with the view that the Fed's inflation preferences during the Volcker-Greenspan regime differ considerably from the ones during the Burns-Miller regime. The file MONTHLY.TXT contains monthly data between 1970.1 and 2000.12 arranged in five columns; the file QUARTERLY.TXT contains quarterly data between 1960.1 and 2000.4 arranged in five columns. The headings OBS, FFRATE, INF, IPI, and UNRATE denote, respectively, the date, Federal Funds rate, CPI inflation rate, Index of Industrial Production, and Unemployment Rate. Additional details can be found the section entitled 3.1 DATA of the paper.
 
Date 2004
 
Type Time series data
 
Source Bureau of Labor Statistics (US); Federal Board of Governors (US)