Does the Taylor Rule Guide US Monetary Policy?: Empirical Investigation - Couverture souple

Saiful Islam, Mohammed

 
9783639208344: Does the Taylor Rule Guide US Monetary Policy?: Empirical Investigation
Couverture souple
ISBN 10 : 363920834X ISBN 13 : 9783639208344
Editeur : VDM Verlag Dr. Müller, 2011

Synopsis

This paper estimates an interest rate reaction function for the US by using quarterly data spanning 1957:Q1-2010:Q3. We find evidence that US monetary policy can be described by the Taylor (1993) rule. Although Taylor's original rule was specified under contemporaneous set-up, there is substantial evidence that forward looking specification can replace the original version without any loss of generality. Interest rate smoothing is another dimension that does not question the robustness of the rule. The only problem underlying in estimation process is the possibility of spurious regression that comes from the nonstationary behaviour of federal funds rate and inflation. We therefore suggest to examine the existence of Taylor rule as a cointegrating relationship between interest rate, inflation and output gap.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This paper estimates an interest rate reaction function for the US by using quarterly data spanning 1957:Q1-2010:Q3. We find evidence that US monetary policy can be described by the Taylor (1993) rule. Although Taylor's original rule was specified under contemporaneous set-up, there is substantial evidence that forward looking specification can replace the original version without any loss of generality. Interest rate smoothing is another dimension that does not question the robustness of the rule. The only problem underlying in estimation process is the possibility of spurious regression that comes from the nonstationary behaviour of federal funds rate and inflation. We therefore suggest to examine the existence of Taylor rule as a cointegrating relationship between interest rate, inflation and output gap.

Biographie de l'auteur

Assistant Professor, Department of Economics, University of Chittagong, Bangladesh. Currently pursuing PhD at University of Dundee, UK.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2011
Langue
anglais
ISBN 10 
363920834X
ISBN 13 
9783639208344
Reliure
Broché
Nombre de pages
88
Coordonnées du fabricant
non disponible
Personne responsable
non disponible