RDP 2006-05: Optimal Monetary Policy with Real-time Signal Extraction from the Bond Market
Equation (18)
[
X
1
,
t
+
1
E
t
X
2
,
t
+
1
]
=
[
A
11
A
12
A
21
A
22
]
[
X
1
,
t
X
2
,
t
]
+
[
B
1
B
2
]
F
X
1
,
t
|
t
+
C
ε
t
.
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