Augmenting the Taylor Rule : Monetary Policy and the Bond Market

I show that augmenting the Taylor rule with bond yields observed at the start of the quarter significantly improves the in-sample and out-of-sample t. Moreover, the augmented rule produces lower forecast errors than those of linear and non-linear policy models

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Year of publication:	2016
Authors:	Roskelley, Kenneth
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Taylor-Regel \| Taylor rule \| Geldpolitik \| Monetary policy \| Rentenmarkt \| Bond market \| Inflationserwartung \| Inflation expectations
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 144, No. July, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 26, 2016 erstellt Volltext nicht verfügbar
Classification:	g9 ; G12 - Asset Pricing ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012991386