The meta Taylor rule

Lee, Kevin and Morley, James and Shields, Kalvinder (2015) The meta Taylor rule. Journal of Money, Credit and Banking, 47 (1). pp. 73-98. ISSN 0022-2879

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Abstract

We characterise U.S. monetary policy within a generalized Taylor rule framework that accommodates uncertainties about the duration of policy regimes and the specification of the rule, in addition to the standard parameter and stochastic uncertainties inherent in traditional Taylor rule analysis. Our approach involves estimation and inference based on Taylor rules obtained through standard linear regression methods, but combined using Bayesian model averaging techniques. Employing data that were available in real time, the estimated version of the 'meta' Taylor rule provides a flexible but compelling characterisation of monetary policy in the United States over the last forty years.

Item Type: Article
Additional Information: This is the peer reviewed version of the following article: Lee, K.C., Morley, J. and Shields, K., 2015. The meta Taylor rule. Journal of Money, Credit and Banking, v. 47, no. 1, p. 73-98, which has been published in final form at http://onlinelibrary.wiley.com/enhanced/doi/10.1111/jmcb.12169. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Keywords: Taylor rule ; real-time policy ; model uncertainty ; U.S. interest rates
Schools/Departments: University of Nottingham UK Campus > Faculty of Social Sciences
University of Nottingham UK Campus > Faculty of Social Sciences > School of Economics
Identification Number: https://doi.org/10.1111/jmcb.12169
Depositing User: Kesaite, Viktorija
Date Deposited: 11 Sep 2015 12:46
Last Modified: 22 Sep 2016 22:11
URI: http://eprints.nottingham.ac.uk/id/eprint/29936

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