Dieppe, Alistair; Küster, Keith; McAdam, Peter - 2004
, more com-
plicated rules may significantly outperform relatively simple (and easy to communicate)
ones like the Taylor rule … under the plain Taylor
rule the first order serial correlation coefficient of interest rates is Cor
1
(r)=0.95 in the AWM … Taylor rule like (2).
Although the generalized Taylor rule seems to be easily implemented, some caveats
emerge. For example …