کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
998307 936640 2011 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Can central banks’ monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
Can central banks’ monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule?
چکیده انگلیسی

The original Taylor rule establishes a simple linear relation between the interest rate, inflation and the output gap. An important extension to this rule is the assumption of a forward-looking behaviour of central banks. Now they are assumed to target expected inflation and output gap instead of current values of these variables. Using a forward-looking monetary policy reaction function, this paper analyses whether central banks’ monetary policy can indeed be described by a linear Taylor rule or, instead, by a nonlinear rule. It also analyses whether that rule can be augmented with a financial conditions index containing information from some asset prices and financial variables. The results indicate that the monetary behaviour of the European Central Bank and Bank of England is best described by a nonlinear rule, but the behaviour of the Federal Reserve of the United States can be well described by a linear Taylor rule. Our evidence also suggests that only the European Central Bank is reacting to financial conditions.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 7, Issue 4, December 2011, Pages 228–246
نویسندگان
,