Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Abstract
We assess U.S. monetary policy across time and frequencies in the framework of the
Taylor Rule (TR). First, we portray the deviations between policy interest rates and the
TR-prescribed rates with a set of continuous wavelet tools, comprising the coherency, phase-diference
and gain. Then, using their multivariate counterparts, including a multivariate
generalization of the wavelet gain, we estimate the TR coefficients in the time-frequency
domain. We uncover a set of new stylized facts of the TR implicit in U.S. monetary policy
that would not be possible to detect with pure time- or frequency-domain methods, nor with
the time-frequency domain tools available thus far.COMPETE; QREN; FEDER; Fundação para a Ciência e a Tecnologia (FCT
