Nonlinear Taylor rule for the European Central Bank

In this paper I add to the evidence on possible nonlinearities in the conduct of ECB monetary policy. For this purpose a nonlinear Taylor rule (threshold regression) was estimated and compared to a linear benchmark model. The estimation was carried out with output gap data computed from quarterly GDP time series. The results show that a nonlinear Taylor rule fits the data better than a linear one.

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Year of publication:	2014-08-20
Authors:	Kulikauskas, Darius
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 34.2014, 3, p. 1798-1804
Publisher:	AccessEcon
Subject:	Taylor rule \| monetary policy \| threshold \| European Central Bank \| ECB \| nonlinear

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Extent:	application/pdf
Type of publication:	Article
Classification:	E5 - Monetary Policy, Central Banking and the Supply of Money and Credit ; E0 - Macroeconomics and Monetary Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010889800