interest_rules_var_data {lpirfs}

Data to estimate the effects of interest rate rules for monetary policy

Description

A tibble, containing data to estimate the effects of interest rate rules for monetary policy. The data are used by Jordà (2005).

Usage

interest_rules_var_data

Format

A tibble with 193 quarterly observations (rows) and 3 variables (columns):

GDP_gap

Percentage difference between real GDP and potential GDP (Congressional Budget Office).

Infl

Inflation: Percentage change in the GDP, chain weighted price index at annual rate.

FF

Federal funds rate: quarterly average of daily rates.

Sample: 1955:I - 2003:I

Source

https://www.aeaweb.org/articles?id=10.1257/0002828053828518

References

Jordà, Ò. (2005) "Estimation and Inference of Impulse Responses by Local Projections." American Economic Review, 95 (1): 161-182.