Nonlinearity in the Fed's monetary policy rule
用灵活的非线性推断方法研究美联储货币政策规则的非线性特征，发现1979年前存在显著非线性，之后不明显；通胀偏离与产出缺口的交互项能更好刻画这种非线性。
Abstract This paper investigates the nature of nonlinearities in the monetary policy rule of the US Federal Reserve (Fed) using the flexible approach to nonlinear inference. We find that while there is significant evidence of nonlinearity for the period to 1979, there is little such evidence for the subsequent period. Possible asymmetries in the Fed's reactions to inflation deviations from target and the output gap in the 1960s and 1970s may tell part of the story, but do not capture the entire nature of the nonlinearity. The inclusion of the interaction between inflation deviations and the output gap, as recently proposed, appears to characterize the nonlinear policy rule more adequately. Copyright © 2005 John Wiley & Sons, Ltd.