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processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and … compatibility between the model and the data. Tests find little support for cointegration and, together with an out …
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investigated with cointegration techniques. We find a stable long-term relationship between the Federal funds rate, unemployment … results are in accordance with recent developments in monetary theory stressing management of expectations as an important …
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Based on a more realistic assumption, we modify the Taylor regression. The modified Taylor regression gives an explanation of why the (standard) Taylor regression is spurious (in the econometric sense, i.e. no stable relationship among the variables of interest) and, at the same time, a solution...
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of unit roots and cointegration, which is perhaps a novelty for the US Taylor rule. We find that there is a well defined …
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