TY  - JOUR
AU  - Hamilton,James D.
AU  - Pruitt,Seth
AU  - Borger,Scott
TI  - Estimating the Market-Perceived Monetary Policy Rule
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16412
PY  - 2010
Y2  - September 2010
UR  - http://www.nber.org/papers/w16412
L1  - http://www.nber.org/papers/w16412.pdf
N1  - Author contact info:
James D. Hamilton
Department of Economics, 0508
University of California, San Diego
9500 Gilman Drive
La Jolla, CA 92093-0508
Tel: 858/534-5986
Fax: 858/534-7040
E-Mail: jhamilton@ucsd.edu

Seth Pruitt
Federal Reserve Board
20th St & Constitution Ave NW
Washington, DC 20551
Tel: 202-452-2344
Fax: 202-452-6424
E-Mail: seth.j.pruitt@frb.gov

Scott Borger
Office of Immigration Statistics
800 K Street, NW
Washington, DC 20528
Tel: 202-786-9828
E-Mail: Scott.Borger@dhs.gov
AB  - We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target.
ER  -