Reassessing Taylor rules using improved housing rent data

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

There is a debate whether the federal funds rate deviated from the Taylor rule. We present evidence that standard inflation measures do not reflect the contemporaneous state of housing rents, which are a large part of price indexes. Using a new housing rent index (RRI) developed by Ambrose et al. (2015), we compute the RRI-based Taylor rule for the period from 2000 to 2010. The modified Taylor rule indicates that seemingly large deviations are better understood as delays due to the stale information regarding housing rents. It also provides a justification for Quantitative Easing and a better alternative to other versions of Taylor rules.

Original languageEnglish (US)
Pages (from-to)243-257
Number of pages15
JournalJournal of Macroeconomics
Volume56
DOIs
StatePublished - Jun 1 2018

Fingerprint

Rent
Taylor rule
Large deviations
Price index
Quantitative easing
Federal funds rate
Justification
Inflation

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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title = "Reassessing Taylor rules using improved housing rent data",
abstract = "There is a debate whether the federal funds rate deviated from the Taylor rule. We present evidence that standard inflation measures do not reflect the contemporaneous state of housing rents, which are a large part of price indexes. Using a new housing rent index (RRI) developed by Ambrose et al. (2015), we compute the RRI-based Taylor rule for the period from 2000 to 2010. The modified Taylor rule indicates that seemingly large deviations are better understood as delays due to the stale information regarding housing rents. It also provides a justification for Quantitative Easing and a better alternative to other versions of Taylor rules.",
author = "Ambrose, {Brent William} and Coulson, {N. Edward} and Jiro Yoshida",
year = "2018",
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Reassessing Taylor rules using improved housing rent data. / Ambrose, Brent William; Coulson, N. Edward; Yoshida, Jiro.

In: Journal of Macroeconomics, Vol. 56, 01.06.2018, p. 243-257.

Research output: Contribution to journalArticle

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AU - Yoshida, Jiro

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