Testing for Real Effects of Monetary Policy Regime Shifts
NBER Working Paper No. 2116
Huizinga and Mishkin (1986) have recently proposed a simple method for testing whether monetary policy regime changes have affected the ex-ante real rate of interest. This paper shows that care must be taken in choosing the set of variables on which to project the ex-post real rate if inferences about the ex-ante real rate are to be drawn. It is shown that Huizinga. and Mishkin's tests cannot distinguish between shifts in the real rate process and shifts in the inflation process.
Published: Journal of Money, Credit and Banking, Vol. 20, no. 3, part 1 (1988): 393-401.