Meta<scp>T</scp>aylor Rules for the<scp>UK</scp>and<scp>A</scp>ustralia; Accommodating Regime Uncertainty in Monetary Policy Analysis Using Model Averaging Methods

Lee, Kevin; Olekalns, Nilss; Shields, Kalvinder

doi:10.1111/manc.12000

Cited by 14 publications

(7 citation statements)

References 32 publications

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“…Lee et al (2011) calls the resulting rule the "meta Taylor rule" and employs it to investigate U.S. monetary policy. Lee et al (2012) does the same with the U.K. and Australian monetary policies. The results demonstrate that the novel approach is useful and applicable in terms of both behavioral modelling and inference perspective, offering an overall highly flexible instrument with which to model and describe policymakers" decisions.…”

Section: Related Literaturementioning

confidence: 94%

The Making of Contemporary Australian Monetary Policy - Backward- or Forward- Looking?

Chen¹,

Zhang²,

Tam³

et al. 2018

IJEF

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Monetary authorities rarely disclose the true reasons behind their policy reactions. A tracing of the policy reaction function to see if the monetary authority is applying simple rules holds the potential to offer profound insight into the past behavioral relationship between the monetary authority and economic agencies. A reasonable body of knowledge about the direction of monetary policy would, moreover, assist economic agencies in forming their expectations, which would in turn, be useful for the monetary authority in anticipating the likely trends of the overall economy. The main objective of this study is to track de Brouwer and Gilbert (2005) from the Australian financial deregulation era (from 1983 to 2002) to the present. Empirical findings show that the Reserve Bank of Australia (RBA) is more forward-looking when formulating monetary policy rather than backward-looking, and that inflation targeting plays a significant role in stabilizing the output of the economy.

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Section: Related Literaturementioning

confidence: 94%

The Making of Contemporary Australian Monetary Policy - Backward- or Forward- Looking?

Chen¹,

Zhang²,

Tam³

et al. 2018

IJEF

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“…Cukierman and Muscatelli (2008) and Kulikauskas (2014) found similar evidence for the European Central Bank. Maza and Sanchez-Robles (2013) found that the Taylor rule perfectly fit the monetary policy actions of the European Central Bank between 1999to 2002and 2007to 2009. Lee et al (2013 found that there were sizeable shifts in the Bank of England's monetary policy following the financial crisis.…”

Section: The Taylor Rulementioning

confidence: 99%

An Empirical Analysis of the Taylor Rule and its Application to Monetary Policy: A Case for the United Kingdom and Euro Area

Bhattarai

Carter

2018

Asian Journal of Economics and Empirical Research

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This paper analyses the Taylor rule and its application to monetary policy in the United Kingdom and Euro area. The analysis uses a linear regression on quarterly economic data from 1993Q1 to 2017Q4 for the United Kingdom and 2000Q1 to 2016Q4 for the Euro area. The results show that the Taylor rule does not fully describe the monetary policy actions made by the Bank of England and European Central Bank over the period analysed; and, that both central banks engage in a significant level of interest rate smoothing. The results also suggest that the Taylor rule does not provide the rationale for quantitative easing within the two regions and that interest rates should be higher than they currently are.

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“…Molodtsova, Nikolsko-Rzhevskyy, and Papell (2011) showed that predictability is found with both one quarter ahead and longer horizon forecasts. Lee, Olekalns, and Shields (2013) indicated that with the use of data that are available in real time, the Taylor rule useful in the United Kingdom and Australia. Both of the dispersions of output and inflation are examined in this study.…”

Section: Estimated Equationsmentioning

confidence: 99%

Taylor Rule During the Zero or Low Interest Rate Era: The Recent Japanese Case

Kurihara¹

2016

AEF

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The Taylor rule has been discussed a lot in theoretical and empirical studies. However, interest rates are quite low all over the world. Japan is no exception. Instead of traditional monetary policy based on interest rates, unconventional monetary policy based on money has been ongoing. This paper investigates whether the Taylor rule fits well in the recent Japanese case. With some other variables added to the Taylor rule along with price gap and output gap, the augmented Taylor rule is examined empirically. The empirical results show that the traditional Taylor rule is more appropriate than most augmented ones; however, exchange rate should be taken into account in determining monetary policy. Moreover, a more aggressive monetary policy from the latter part of the 2000s is needed.

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MetaTaylor Rules for theUKandAustralia; Accommodating Regime Uncertainty in Monetary Policy Analysis Using Model Averaging Methods

Cited by 14 publications

References 32 publications

The Making of Contemporary Australian Monetary Policy - Backward- or Forward- Looking?

The Making of Contemporary Australian Monetary Policy - Backward- or Forward- Looking?

An Empirical Analysis of the Taylor Rule and its Application to Monetary Policy: A Case for the United Kingdom and Euro Area

Taylor Rule During the Zero or Low Interest Rate Era: The Recent Japanese Case

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