- MonetaryPolicyRules.orgUp-to-date, accurate estimates of academic monetary policy rules. Intended to be purely a reference, and not any sort of endorsement in the rules versus discretion debate.
- Taylor (1999) Rule with Laubach-Williams r*
- Taylor (1993) Rule With Laubach-Williams r*
- Taylor (1993) Rule
- Taylor (1999) Rule
- Mankiw (2001) Rule
- Sumner (2012) NGDP TargetingBase year is July 2009 consistent with Lars Christensen's argument that the Federal Reserve now implicitly follows a 4% NGDP target.
- Svensson (1996) Price Level TargetingBase period is December 2007, per Chicago Fed President Charlie Evans' speech in October 2010 that raised the idea of a 2% price level path using Dec. 2007 as the base.(Note: the Federal Reserve officially announced its 2% inflation target in 2012)CPI is indexed such that CPI=100 in 1982.
- MethodologyAll rules are updated on a monthly basis upon the release of new data.The Taylor (1999) Rule with Laubach-Williams r* is calculated as Federal Funds Rate = Laubach-Williams r* + Core CPI Inflation (y/y) + 0.5 x (Core CPI Inflation (y/y) - 2%) + 1 x Output Gap
The Taylor (1993) Rule is calculated as Federal Funds Rate = 2 + Core CPI Inflation (y/y) + 0.5 x (Core CPI Inflation (y/y) - 2%) + 0.5 x Output GapThe Taylor (1999) Rule is calculated as Federal Funds Rate = 2 + Core CPI Inflation (y/y) + 0.5 x (Core CPI Inflation (y/y) - 2%) + 1 x Output GapThe Mankiw (2001) Rule is calculated as Federal Funds Rate = 8.5 + 1.4 x Core CPI Inflation (y/y) – Unemployment Rate)Output Gap is defined as (Real GDP – Potential Real GDP)/Potential Real GDP, where Potential Real GDP is provided by the Congressional Budget Office (CBO) estimates.Core CPI Inflation (y/y) is provided by the Bureau of Labor Statistics.Real GDP is provided by the Bureau of Economic Analysis.The Effective Federal Funds Rate is provided by the Federal Reserve Board of Governors.Laubach-Williams r* estimates are provided by the Federal Reserve Bank of San Francisco and the same as those in Laubach and Williams (2003).
The Wu-Xia (2014) Shadow Federal Funds Rate is provided by the Federal Reserve Bank of Atlanta.ReferencesCongressional Budget Office (2001). “CBO’s Method for Estimating Potential Output: An Update”.Congressional Budget Office (2014). “Revisions to CBO’s Projection of Potential Output Since 2007”.Justin Weidner and John C. Williams (2009), “How Big is the Output Gap?”, FRBSF Economic Letter.Laubach, Thomas and John C. Williams (2003), "Measuring The Natural Rate of Interest", Review of Economic Statistics,Mankiw, N. Gregory (2001): “U.S. Monetary Policy During the 1990’s”, NBER Working Paper No. 8471.
Sumner, Scott (2012): "The Case For Nominal GDP Targeting", Mercatus Center at George Mason University Paper.
Svennson, Lars E.O. (1996): "Price Level Targeting vs. Inflation Targeting: A Free Lunch?", NBER Working Paper No. 5719
Taylor, John B. (1993): “Discretion versus policy rules in practice”, Carnegie-Rochester Conference Series on Public Policy, no 39, pp 195–214.
Taylor, John B. (1999): “A Historical Analysis of Monetary Policy Rules”, in J.B. Taylor, ed., Monetary Policy Rules, Chicago: U. of Chicago Press.
Woodford, Michael (2001): “The Taylor rule and optimal monetary policy”, American Economic Review, no 91(2), pp 232–37
Wu, Jing C. and Fan D. Xia: “Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound”, NBER Working Paper No. 20117.