The meta Taylor rule
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...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
Wiley
2015
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/29936/ |
| _version_ | 1848793885438902272 |
|---|---|
| author | Lee, Kevin Morley, James Shields, Kalvinder |
| author_facet | Lee, Kevin Morley, James Shields, Kalvinder |
| author_sort | Lee, Kevin |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T19:07:24Z |
| format | Article |
| id | nottingham-29936 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:07:24Z |
| publishDate | 2015 |
| publisher | Wiley |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-299362020-05-04T17:00:21Z https://eprints.nottingham.ac.uk/29936/ The meta Taylor rule Lee, Kevin Morley, James Shields, Kalvinder 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. Wiley 2015-01-23 Article PeerReviewed Lee, Kevin, Morley, James and Shields, Kalvinder (2015) The meta Taylor rule. Journal of Money, Credit and Banking, 47 (1). pp. 73-98. ISSN 0022-2879 Taylor rule ; real-time policy ; model uncertainty ; U.S. interest rates http://onlinelibrary.wiley.com/enhanced/doi/10.1111/jmcb.12169 doi:10.1111/jmcb.12169 doi:10.1111/jmcb.12169 |
| spellingShingle | Taylor rule ; real-time policy ; model uncertainty ; U.S. interest rates Lee, Kevin Morley, James Shields, Kalvinder The meta Taylor rule |
| title | The meta Taylor rule |
| title_full | The meta Taylor rule |
| title_fullStr | The meta Taylor rule |
| title_full_unstemmed | The meta Taylor rule |
| title_short | The meta Taylor rule |
| title_sort | meta taylor rule |
| topic | Taylor rule ; real-time policy ; model uncertainty ; U.S. interest rates |
| url | https://eprints.nottingham.ac.uk/29936/ https://eprints.nottingham.ac.uk/29936/ https://eprints.nottingham.ac.uk/29936/ |