Monetary Policy Estimation in Real Time: Forward‐Looking Taylor Rules without Forward‐Looking Data
Alex Nikolsko‐rzhevskyy
Authors registered in the RePEc Author Service: Alex Nikolsko-Rzhevskyy
Journal of Money, Credit and Banking, 2011, vol. 43, issue 5, 871-897
Abstract:
I propose a methodology for estimating forward‐looking Taylor rules in real time when forward‐looking real‐time central bank data are unavailable. The methodology consists of choosing appropriate models to closely replicate U.S. Greenbook forecasts and then applying these models to Canada, Germany, and the U.K. The results show that German and U.S. Taylor rules are characterized by inflation coefficients increasing with the forecast horizon and a positive output gap response. The U.K. and Canada interest rate reaction functions achieve maximum inflation response at middle‐term horizons of about 1/2 years and the output gap coefficient is insignificant.
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
https://doi.org/10.1111/j.1538-4616.2011.00400.x
Related works:
Journal Article: Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:43:y:2011:i:5:p:871-897
Access Statistics for this article
Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West
More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().