Multicountry Time-Varying Taylor Rule: Modeling Unconventional Monetary Policies and Bond Premiums
Tohru Morita
Abstract:In the post-financial-crisis era, advanced economies have increasingly adopted unconventional monetary policies such as zero interest rate policy, negative interest rate policy, forward guidance communication, and international coordination policies. Consequently, the traditional Taylor rule has lost some of its explanatory power. This analysis extends the Taylor rule from a single-country to a multicountry analysis using cross-country panel data, incorporating nonmacro factors and stationary correlation in th… Show more
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