This paper studies uncertainty about out-of-sample interest rate forecasts implied by an estimated Taylor rule. It is shown that the Taylor rule leads to a decomposition of forecast uncertainty into an element that depends on uncertainty about the future state of the economy and another element...

This paper studies whether monetary policy should respond to changes in monetary aggregates or stock market indices. Based on an empirical model of the US it presents estimates of how the inclusion of monetary aggregates or stock market indices in the central bank's information set affects the...

This book surveys and summarizes the numerous approaches used to extract information on market expectations from option prices. The various approaches are thoroughly explained and many practical issues are discussed, including: data selection, data preparation, and presentation and...

We use a threshold vector autoregression to study the effects of monetary policy shocks on the US. Depending on the level of inflation we note important regime dependence in the inflation response to monetary policy shocks.