Table 1. Full Sample Taylor Rule Regression Results

Dependent Variable: FFMINUSCORE
Method: Least Squares
Date: 04/11/15 Time: 11:20
Sample (adjusted): 1970Q2 2013Q4
Included observations: 175 after adjustments
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 2.251993 / 0.224154 / 10.04662 / 0.0000
PCEINFGAPCORE(-1) / 0.288862 / 0.073679 / 3.920528 / 0.0001
GDP_GAP(-1) / 0.442266 / 0.066129 / 6.687925 / 0.0000
R-squared / 0.245859 / Mean dependent var / 2.085491
Adjusted R-squared / 0.237090 / S.D. dependent var / 2.542160
S.E. of regression / 2.220443 / Akaike info criterion / 4.450284
Sum squared resid / 848.0228 / Schwarz criterion / 4.504538
Log likelihood / -386.3999 / Hannan-Quinn criter. / 4.472291
F-statistic / 28.03700 / Durbin-Watson stat / 0.191185
Prob(F-statistic) / 0.000000

NOTES: NEUTRAL NOMINAL FUNDS RATE = 2.25 + 2 = 4.25 (A LITTLE HAWKISH, TAYLOR = 4%) TAYLOR PRINCIPLE SATISFIED .29 + 1 = 1.29...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.29% AND THE REAL RATE RISES BY .29%

PARAMETER ON GDP GAP = .44, A LITTLE LOWER THAN TAYLOR = .50

Equation Results

iff = 2.25 + π + .29 (π - π*) + .44 ( GAP)

Table 2. Full Sample Mankiw Rule Regression Results

Dependent Variable: FF
Method: Least Squares
Date: 03/14/15 Time: 11:36
Sample: 1970Q1 2013Q4
Included observations: 176
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 9.003344 / 0.286963 / 31.37460 / 0.0000
PCE_CORE-UR / 1.182058 / 0.078152 / 15.12505 / 0.0000
R-squared / 0.567989 / Mean dependent var / 5.732159
Adjusted R-squared / 0.565506 / S.D. dependent var / 3.795953
S.E. of regression / 2.502147 / Akaike info criterion / 4.683474
Sum squared resid / 1089.369 / Schwarz criterion / 4.719502
Log likelihood / -410.1457 / Hannan-Quinn criter. / 4.698087
F-statistic / 228.7672 / Durbin-Watson stat / 0.126664
Prob(F-statistic) / 0.000000

NOTES: NEUTRAL NOMINAL FUNDS RATE = (-3.5 x 1.18) + 9 = 4.87 (A LITTLE HAWKISH) TAYLOR PRINCIPLE SATISFIED 1.18...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.18% AND THE REAL RATE RISES BY .18% - A LITTLE DOVISH - note, the mankiw rule is iff = 8.5 + 1.4 (π - UR)

Equation Results

iff = 9.0 + 1.18 (π - UR)

Table 1. Full Sample Chud Okun Rule Regression Results

Dependent Variable: FFMINUSCORE
Method: Least Squares
Date: 04/21/15 Time: 15:36
Sample (adjusted): 1970Q2 2013Q4
Included observations: 175 after adjustments
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 2.206862 / 0.231670 / 9.525899 / 0.0000
PCEINFGAPCORE(-1) / 0.247528 / 0.075433 / 3.281419 / 0.0013
UNGAP(-1) / -0.674020 / 0.116810 / -5.770225 / 0.0000
R-squared / 0.203861 / Mean dependent var / 2.085491
Adjusted R-squared / 0.194603 / S.D. dependent var / 2.542160
S.E. of regression / 2.281433 / Akaike info criterion / 4.504479
Sum squared resid / 895.2490 / Schwarz criterion / 4.558732
Log likelihood / -391.1419 / Hannan-Quinn criter. / 4.526485
F-statistic / 22.02132 / Durbin-Watson stat / 0.186855
Prob(F-statistic) / 0.000000

NOTES: NEUTRAL NOMINAL FUNDS RATE = 2.21 + 2 = 4.21 (A LITTLE HAWKISH, TAYLOR = 4%) TAYLOR PRINCIPLE SATISFIED .25 + 1 = 1.25...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.25% AND THE REAL RATE RISES BY .25%

PARAMETERON UNGAP = -.67, ABOUT 1/2 THE VALUE CONSISTENT WITH OKUN'S LAW - HAWKISH

Equation Results

iff = 2.21 + π + .25 (π - π*) - .67 ( UNGAP)

Table 5. Burns Period Correlation Results

FEDERAL_FUNDS_RATE / 1.000000
(1) TAYLOR / 0.789806
(2) MANKIW / 0.739685
(3) OKUN / 0.853275
(4) TAYLOR_PCE_CORE / 0.517983
(5) TAYLOR_ADJ_OUTPUT / 0.853263
(6) TAY_ADJ_OUTPUT_CORE / 0.693735
(7) OKUN_ADJ / 0.921251*

p

Burns Period Taylor Rule Regression Results

Dependent Variable: FF_minus_PCE_inf
Method: Least Squares
Date: 03/19/15 Time: 14:58
Sample (adjusted): 1970Q2 1977Q4
Included observations: 31 after adjustments
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 1.608580 / 0.345277 / 4.658814 / 0.0001
PCEINFGAP(-1) / -0.246737 / 0.079215 / -3.114771 / 0.0042
GDP_GAP(-1) / 0.570126 / 0.076849 / 7.418738 / 0.0000
R-squared / 0.797264 / Mean dependent var / 0.321371
Adjusted R-squared / 0.782783 / S.D. dependent var / 1.949553
S.E. of regression / 0.908619 / Akaike info criterion / 2.737985
Sum squared resid / 23.11650 / Schwarz criterion / 2.876758
Log likelihood / -39.43877 / Hannan-Quinn criter. / 2.783222
F-statistic / 55.05535 / Durbin-Watson stat / 1.479682
Prob(F-statistic) / 0.000000

NOTES: NATURAL NOMINAL FUNDS RATE = 1.6 + 2 = 3.6 (A LITTLE DOVISH)

TAYLOR PRINCIPLE VIOLATED! -.25 + 1 = .75...IF INFLATION GOES UP BY 1%, FUNDS RATE ONLY RISES BY .75% AND THE REAL RATE FALLS - VERY DOVISH!

PARAMETER ON GDP GAP, A LITTLE HIGHER THAN TAYLOR - DOVISH!

Equation Results

iff = 1.6 + π + (-.25) (π - π*) + .57 ( GAP)

Burns Period Mankiw Rule Regression Results

Dependent Variable: FF
Method: Least Squares
Date: 03/16/15 Time: 07:33
Sample: 1970Q1 1977Q4
Included observations: 32
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 7.186227 / 0.296305 / 24.25279 / 0.0000
PCE_CORE-UR / 1.112865 / 0.184850 / 6.020353 / 0.0000
R-squared / 0.547133 / Mean dependent var / 6.488437
Adjusted R-squared / 0.532038 / S.D. dependent var / 2.255005
S.E. of regression / 1.542598 / Akaike info criterion / 3.765275
Sum squared resid / 71.38829 / Schwarz criterion / 3.856884
Log likelihood / -58.24440 / Hannan-Quinn criter. / 3.795641
F-statistic / 36.24465 / Durbin-Watson stat / 0.510315
Prob(F-statistic) / 0.000001

NOTES: NEUTRAL NOMINAL FUNDS RATE = (-3.5 x 1.11) + 7.19= 3.3 (A LITTLE DOVISH) TAYLOR PRINCIPLE SATISFIED 1.11...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.11% AND THE REAL RATE RISES BY .11% - A LITTLE DOVISH

Equation Results

iff = 7.19 + 1.11 (π - UR)

Burns Period Chud Okun Rule Regression Results

Dependent Variable: FFMINUSCORE
Method: Least Squares
Date: 04/21/15 Time: 15:39
Sample (adjusted): 1970Q2 1977Q4
Included observations: 31 after adjustments
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 2.442461 / 0.628034 / 3.889059 / 0.0006
PCEINFGAPCORE(-1) / -0.410278 / 0.165985 / -2.471773 / 0.0198
UNGAP(-1) / -1.227593 / 0.260740 / -4.708115 / 0.0001
R-squared / 0.711801 / Mean dependent var / 0.733532
Adjusted R-squared / 0.691215 / S.D. dependent var / 2.531850
S.E. of regression / 1.406909 / Akaike info criterion / 3.612433
Sum squared resid / 55.42302 / Schwarz criterion / 3.751206
Log likelihood / -52.99272 / Hannan-Quinn criter. / 3.657670
F-statistic / 34.57748 / Durbin-Watson stat / 0.807921
Prob(F-statistic) / 0.000000

NOTES: NEUTRAL NOMINAL FUNDS RATE = 2.44 + 2 = 4.44 (A LITTLE HAWKISH, TAYLOR = 4%) TAYLOR PRINCIPLE VIOLATED BIG TIME! - .41 + 1 = .59...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY .59% AND THE REAL RATE FALLS BY .41%

PARAMETERON UNGAP = -.1.22, RIGHT IN LINE WITH OKUN! MORE DOVISH THAN THE FULL SAMPLE RESULTS.

Equation Results

iff = 2.21 + π + (-.41) (π - π*) - .1.22 ( UNGAP)

Volcker Period Correlation Results

FEDERAL_FUNDS_RATE / 1.000000
(1) TAYLOR / 0.760243
(2) MANKIW / 0.753126
(3) OKUN / 0.729295
(4) TAYLOR_PCE_CORE / 0.831577*
(5) TAYLOR_ADJ_OUTPUT / 0.706852
(6) TAY_ADJ_OUTPUT_CORE / 0.759570
(7) OKUN_ADJ / 0.616101

Volcker Period Taylor Rule Regression Results

Dependent Variable: FFMINUSCORE
Method: Least Squares
Date: 04/11/15 Time: 11:53
Sample: 1979Q3 1987Q2
Included observations: 32
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 3.507579 / 0.688134 / 5.097234 / 0.0000
PCEINFGAPCORE(-1) / 0.406037 / 0.146670 / 2.768371 / 0.0097
GDP_GAP(-1) / 0.082462 / 0.132835 / 0.620789 / 0.5396
R-squared / 0.209107 / Mean dependent var / 4.885413
Adjusted R-squared / 0.154563 / S.D. dependent var / 1.898480
S.E. of regression / 1.745608 / Akaike info criterion / 4.041143
Sum squared resid / 88.36731 / Schwarz criterion / 4.178556
Log likelihood / -61.65829 / Hannan-Quinn criter. / 4.086692
F-statistic / 3.833706 / Durbin-Watson stat / 1.036383
Prob(F-statistic) / 0.033320

NOTES: NEUTRAL FUNDS RATE 3.5 + 2 = 5.5 VOLCKER, YOU HAWK!

TAYLOR PRINCIPLE SATISFIED, INFLATION UP 1%, FUNDS RATE UP 1.4%, REAL RATE UP BY .4%.

PARAMETERON GDP GAP NOT SIGNIFICANT (LOOK AT T-STAT) - NO REACTION TO GDP GAP - CONSISTENT WITH A TOTAL HAWK - THE ONLY GAME IN TOWN IS INFLATION - RECALL THE LOSS FUNCTION - VOLCKER'S α MUCH BIGGER THAN HIS β!

NOTE THAT THE FIT IS NOT VERY GOOD

Equation Results

iff = 3.5 + π +.40 (π - π*) + .08 ( GAP)

Volcker Period Mankiw Rule Regression Results

Dependent Variable: FF
Method: Least Squares
Date: 03/16/15 Time: 07:36
Sample: 1979Q3 1987Q3
Included observations: 33
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 12.64667 / 0.516896 / 24.46655 / 0.0000
PCE_CORE-UR / 1.056830 / 0.165806 / 6.373876 / 0.0000
R-squared / 0.567198 / Mean dependent var / 10.57909
Adjusted R-squared / 0.553237 / S.D. dependent var / 3.458746
S.E. of regression / 2.311838 / Akaike info criterion / 4.572654
Sum squared resid / 165.6824 / Schwarz criterion / 4.663352
Log likelihood / -73.44880 / Hannan-Quinn criter. / 4.603171
F-statistic / 40.62629 / Durbin-Watson stat / 0.472484
Prob(F-statistic) / 0.000000

NOTES: NEUTRAL NOMINAL FUNDS RATE = (-3.5 x 1.06) + 12.65 = 8.94 (VERY HAWKISH!) TAYLOR PRINCIPLE BARELY SATISFIED 1.06...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.06% AND THE REAL RATE RISES BY .06% - A LITTLE DOVISH

Equation Results

iff = 12.65 + 1.06 (π - UR)

Volcker Period Chud Okun Rule Regression Results

Dependent Variable: FFMINUSCORE
Method: Least Squares
Date: 04/21/15 Time: 15:44
Sample: 1979Q3 1987Q3
Included observations: 33
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 3.405732 / 0.726295 / 4.689185 / 0.0001
PCEINFGAPCORE(-1) / 0.390731 / 0.138521 / 2.820733 / 0.0084
UNGAP(-1) / -0.042359 / 0.232862 / -0.181908 / 0.8569
R-squared / 0.211449 / Mean dependent var / 4.844576
Adjusted R-squared / 0.158879 / S.D. dependent var / 1.883249
S.E. of regression / 1.727177 / Akaike info criterion / 4.017362
Sum squared resid / 89.49426 / Schwarz criterion / 4.153408
Log likelihood / -63.28648 / Hannan-Quinn criter. / 4.063138
F-statistic / 4.022243 / Durbin-Watson stat / 1.031987
Prob(F-statistic) / 0.028343

NOTES: NEUTRAL NOMINAL FUNDS RATE = 3.40 + 2 = 5.40 (VERY HAWKISH, TAYLOR = 4%) TAYLOR PRINCIPLE SATISFIED .39 + 1 = 1.39...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.39% AND THE REAL RATE RISES BY .39%

PARAMETERON UNGAP = VERY SMALL AND INSIGNIFICANT - AGAIN, PERFECTLY CONSISTENT WITH A TOTAL HAWK! WHAT UNEMPLOYMENT GAP?? INFLATION IS THE ONLY GAME IN TOWN!

Equation Results

iff = 3.40 + π + .39 (π - π*) - (-.04) ( UNGAP)

Greenspan Period Correlation Results

FEDERAL_FUNDS_RATE / 1.000000
(1) TAYLOR / 0.725200
(2) MANKIW / 0.836369*
(3) OKUN / 0.797277
(4) TAYLOR_PCE_CORE / 0.806393
(5) TAYLOR_ADJ_OUTPUT / 0.726613
(6) TAY_ADJ_OUTPUT_CORE / 0.810794
(7) OKUN_ADJ / 0.808077

Greenspan Period Taylor Rule Regression Results

Dependent Variable: FFMINUSCORE
Method: Least Squares
Date: 04/11/15 Time: 12:07
Sample: 1987Q3 2005Q4
Included observations: 74
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 2.482264 / 0.167592 / 14.81138 / 0.0000
PCEINFGAPCORE(-1) / 0.698134 / 0.159678 / 4.372124 / 0.0000
GDP_GAP(-1) / 0.763797 / 0.093707 / 8.150864 / 0.0000
R-squared / 0.511347 / Mean dependent var / 2.406977
Adjusted R-squared / 0.497582 / S.D. dependent var / 1.827837
S.E. of regression / 1.295597 / Akaike info criterion / 3.395516
Sum squared resid / 119.1786 / Schwarz criterion / 3.488925
Log likelihood / -122.6341 / Hannan-Quinn criter. / 3.432778
F-statistic / 37.14866 / Durbin-Watson stat / 0.120890
Prob(F-statistic) / 0.000000

NOTES: NEUTRAL NOMINAL FUNDS RATE = 2.48 + 2 = 4.48 (A LITTLE HAWKISH, TAYLOR = 4%) TAYLOR PRINCIPLE SATISFIED BIG TIME! .70 + 1 = 1.70...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.70% AND THE REAL RATE RISES BY .70%...ALAN, YOU HAWK!

PARAMETER ON GDP GAP = .76, A LITTLE HIGHER THAN TAYLOR = .50 - DOVISH IF GDP GAP IS NEGATIVE, HAWKISH IS GDP GAP IS POSITIVE (TAKE THE PUNCH BOWL AWAY JUST AS THE PARTY IS GETTING STARTED!!)

Equation Results

iff = 2.48 + π +.70 (π - π*) + .76 ( GAP)

Greenspan Period Mankiw Rule Regression Results

Dependent Variable: FF
Method: Least Squares
Date: 03/16/15 Time: 07:37
Sample: 1987Q3 2005Q4
Included observations: 74
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 10.61691 / 0.470665 / 22.55724 / 0.0000
PCE_CORE-UR / 1.857234 / 0.143455 / 12.94646 / 0.0000
R-squared / 0.699513 / Mean dependent var / 4.818919
Adjusted R-squared / 0.695339 / S.D. dependent var / 2.256439
S.E. of regression / 1.245466 / Akaike info criterion / 3.303551
Sum squared resid / 111.6853 / Schwarz criterion / 3.365823
Log likelihood / -120.2314 / Hannan-Quinn criter. / 3.328392
F-statistic / 167.6109 / Durbin-Watson stat / 0.111413
Prob(F-statistic) / 0.000000

NOTES: NEUTRAL NOMINAL FUNDS RATE = (-3.5 x 1.86) + 10.62 = 4.11 (ABOUT SPOT ON WITH TAYLOR) TAYLOR PRINCIPLE TOTALLY SATISFIED 1.85...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.85% AND THE REAL RATE RISES BY .85% - VERY HAWKISH - BUT ON THE OTHER SIDE OF THE 'COIN', VERY RESPONSIVE TO THE LABOR MARKET - PAYROLL GROWTH AS WELL AS UNEMPLOYMENT RATES - GO TO TAYLOR RULE POWER POINT SLIDES.

Equation Results

iff = 10.62 + 1.86 (π - UR)

Greenspan Period Chud Okun Regression Results

Dependent Variable: FFMINUSCORE
Method: Least Squares
Date: 04/21/15 Time: 15:47
Sample: 1987Q3 2005Q4
Included observations: 74
Variable / Coefficient / Std. Error / t-Statistic / Prob.
C / 2.540521 / 0.138643 / 18.32420 / 0.0000
PCEINFGAPCORE(-1) / 0.524420 / 0.129389 / 4.053045 / 0.0001
UNGAP(-1) / -1.782716 / 0.155950 / -11.43134 / 0.0000
R-squared / 0.666995 / Mean dependent var / 2.406977
Adjusted R-squared / 0.657615 / S.D. dependent var / 1.827837
S.E. of regression / 1.069534 / Akaike info criterion / 3.012019
Sum squared resid / 81.21715 / Schwarz criterion / 3.105428
Log likelihood / -108.4447 / Hannan-Quinn criter. / 3.049281
F-statistic / 71.10516 / Durbin-Watson stat / 0.157514
Prob(F-statistic) / 0.000000

NOTES: NEUTRAL NOMINAL FUNDS RATE = 2.54 + 2 = 4.54 (A LITTLE HAWKISH, TAYLOR = 4%) TAYLOR PRINCIPLE SATISFIED! .52 + 1 = 1.52...IF INFLATION GOES UP BY 1%, FUNDS RATE RISES BY 1.52% AND THE REAL RATE RISES BY .52%...PERFECTLY IN LINE WITH TAYLOR!

PARAMETER ON UNGAP GAP = -1.78, QUITE DOVISH - SAME STORY AS ABOVE - IF UR IS 1% GREATER THAN NAIRU - BE A DOVE AND LOWER THE FUNDS RATE BY 1.78%... ALTERNATIVELY - IF UR IS 1% LESS THAN NAIRU, BE A HAWK AND RAISE FUNDS RATE BY 1.78%.

Equation Results

iff = 2.54 + π + .52 (π - π*) - 1.78 ( UNGAP)