KEVIN LEE kevin.lee@nottingham.ac.uk
Professor of Economics
The meta Taylor rule
Lee, Kevin; Morley, James; Shields, Kalvinder
Authors
James Morley
Kalvinder Shields
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.
Citation
Lee, K., Morley, J., & Shields, K. (2015). The meta Taylor rule. Journal of Money, Credit and Banking, 47(1), https://doi.org/10.1111/jmcb.12169
Journal Article Type | Article |
---|---|
Acceptance Date | Aug 20, 2013 |
Publication Date | Jan 23, 2015 |
Deposit Date | Sep 11, 2015 |
Publicly Available Date | Sep 11, 2015 |
Journal | Journal of Money, Credit and Banking |
Print ISSN | 0022-2879 |
Electronic ISSN | 0022-2879 |
Publisher | Wiley |
Peer Reviewed | Peer Reviewed |
Volume | 47 |
Issue | 1 |
DOI | https://doi.org/10.1111/jmcb.12169 |
Keywords | Taylor rule ; real-time policy ; model uncertainty ; U.S. interest rates |
Public URL | https://nottingham-repository.worktribe.com/output/742731 |
Publisher URL | http://onlinelibrary.wiley.com/enhanced/doi/10.1111/jmcb.12169 |
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. |
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Copyright Statement
Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by-nc/4.0
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