NOTES D’ÉTUDES ET DE RECHERCHE - EVALUATING MONETARY POLICY RULES IN ESTIMATED FORWARD-LOOKING MODELS: A COMPARISON OF US AND GERMAN MONETARY POLICIES Eric Jondeau and Hervé Le Bihan - October 2000 - NER # 76
نویسندگان
چکیده
In this paper, we estimate two small, forward-looking, macroeconomic models for the US and Germany and we compare the implied optimal monetary policy rules. Both models have a standard structure: an I-S curve, a Phillips curve, a short term interest-rate rule and a long term interest rate determined by the Expectations Hypothesis. They are intended to fit the data while allowing for some forward-looking behavior. They are estimated from 1968 to 1998, using the full-information maximum-likelihood procedure, so that forward-looking expectations are fully model-consistent. In order to evaluate monetary policy, we compute optimal policy frontiers and we perform some simulations of the model. German optimal monetary policy is found to require a more persistent and slightly stronger response to inflation and output than the US optimal policy.
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