Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?

Caporale, Guglielmo Maria; Helmi, Mohamad Husam; Çatık, Abdurrahman Nazif; Ali, Faek Menla; Akdeni̇z, Coşkun

doi:10.1016/j.econmod.2018.02.006

Cited by 63 publications

(44 citation statements)

References 74 publications

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“…This indicates that an augmented Taylor model performs better than the baseline Taylor model as noted in Caporale et al . ().…”

Section: Resultsmentioning

confidence: 97%

“…The discount rate is used as a proxy for monetary policy rate for the case of Nigeria and Venezuela as suggested in Caporale et al . (). Inflation gap and the output gap are captured by the difference between the actual level and the potential level…”

Section: Methodsmentioning

confidence: 97%

“…Caporale et al . () tested the effectiveness of an augmented non‐linear Taylor rule in emerging countries using monthly data from June 1997 to February 2015. Their finding shows that an augmented non‐linear Taylor rule performs better in analysing the behaviour of monetary authorities in these countries.…”

Section: Literature Reviewsmentioning

confidence: 99%

“…They concluded that interest rate predictions were mainly influenced by the correct inclusion of changes in structural parameters and expectations about variables. Caporale et al (2016) tested the effectiveness of an augmented non-linear Taylor rule in emerging countries using monthly data from June 1997 to February 2015. Their finding shows that an augmented non-linear Taylor rule performs better in analysing the behaviour of monetary authorities in these countries.…”

Section: Literature Reviewsmentioning

confidence: 99%

“…Data for monetary policy rates, discount rates and real effective exchange rate are obtained from the International Monetary Fund (IMF) International Financial Statistics, whereas inflation and real gross domestic product (GDP) data are sourced from World Development Indicator (WDI) 2015 published by the World Bank. The discount rate is used as a proxy for monetary policy rate for the case of Nigeria and Venezuela as suggested in Caporale et al (2016). Inflation gap and the output gap are captured by the difference between the actual level and the potential level.…”

Section: Data Source and Estimation Techniquementioning

confidence: 99%

See 4 more Smart Citations

Monetary policy decisions in selected Organization of Petroleum Exporting Countries economies: does Taylor's principle matter?

Akinkunmi¹

2017

OPEC Energy Review

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Many OPEC countries heavily rely on the hydrocarbon sector as the lifeblood of their economies. The uncertainty of crude oil price environment makes them vulnerable to external shocks. Therefore, knowledge about drivers of economic policies especially monetary policy designed to accommodate shocks calls for empirical research with the recent global oil environment. This study examines the drivers of monetary policy rate in selected OPEC economies and tests whether these factors follow Taylor's rule using monthly time series data from 1990 to 2015. Its finding reveals that inflation gap and output gap are effective in influencing policy rate in Indonesia, whereas only inflation gap influences the policy rate in Nigeria. In addition, the level of policy rate in Saudi Arabia and Venezuela is determined by the level of output gap in the baseline Taylor model. The outcome of the augmented Taylor model supports the smoothing behaviour of the monetary authorities in the economies. In conclusion, none of these economies follow Taylor's principle in their monetary policy decisions.

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“…This indicates that an augmented Taylor model performs better than the baseline Taylor model as noted in Caporale et al . ().…”

Section: Resultsmentioning

confidence: 97%

Section: Methodsmentioning

confidence: 97%

Section: Literature Reviewsmentioning

confidence: 99%

Section: Literature Reviewsmentioning

confidence: 99%

Section: Data Source and Estimation Techniquementioning

confidence: 99%

See 3 more Smart Citations

Monetary policy decisions in selected Organization of Petroleum Exporting Countries economies: does Taylor's principle matter?

Akinkunmi¹

2017

OPEC Energy Review

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Effects of monetary policy on the skill premium and the growth rate in a directed technical change model with heterogeneous cash‐in‐advance constraints

Afonso

Lima

2022

Int. J Fin Econ

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This article analyses the balanced‐growth‐path effects of monetary policy (inflation) on the skill premium and the growth rate in the context of a directed technical change model with cash‐in‐advance (CIA) constraints specific to the unskilled and skilled sectors. Calibrating the model using data from 36 countries, the presence of more stringent CIA constraints in the unskilled sector, as supported by the literature, causes inflation to have a positive effect on the skill premium. Moreover, it also increases the negative impact of inflation on the growth rate in relation to the baseline scenario of homogeneous CIA constraints. A lower labour share and higher inflation in general magnify these effects on both variables while a relative lower importance of the unskilled sector does the opposite with respect to the skill premium. Therefore this article innovates in three important ways: (i) we add an additional channel through which inflation affects inequality; (ii) we highlight the importance of avoiding ignoring differences of liquidity constraints across the economy in the context of endogenous growth models to not underestimate the negative long‐run impacts of inflation; (iii) the results suggest that developing countries that have difficulty in achieving price stability in the long‐run can mitigate the negative effects of inflation by reducing constraints faced by the unskilled sector and promoting the development of the skilled sector.

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Flexible Monetary Policy Rules from the Great Moderation to the New Normal Times (1993–2023): A Forward-Looking Review

Masciandaro

2023

Contributions to Economics

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Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?

Cited by 63 publications

References 74 publications

Monetary policy decisions in selected Organization of Petroleum Exporting Countries economies: does Taylor's principle matter?

Monetary policy decisions in selected Organization of Petroleum Exporting Countries economies: does Taylor's principle matter?

Effects of monetary policy on the skill premium and the growth rate in a directed technical change model with heterogeneous cash‐in‐advance constraints

Flexible Monetary Policy Rules from the Great Moderation to the New Normal Times (1993–2023): A Forward-Looking Review

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