This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...

I propose a discrete choice method for estimating monetary policy reaction functions based on research by Hu and Phillips (2004). This method distinguishes between determining the underlying desired rate which drives policy rate changes and actually implementing interest rate changes. The method...

Monetary policy rule parameters are usually estimated at the mean of the interest rate distribution conditional on inflation and an output gap. This is an incomplete description of monetary policy reactions when the parameters are not uniform over the conditional distribution of the interest...

In this paper we construct a new monetary policy indicator (MPI) for Jamaica. Further to the construction of this indicator, two variants of augmented VAR are estimated. These are the structural VAR and a variant of the fusion between VAR and the analytical narrative-approach (ANA); forming the...

The role of stock and currency market information in a forward-looking Taylor rule is analysed for monthly data from 13 OECD countries and the U.S. during the years 1988-2012. Based on a simple set of partial equilibrium conditions we fi nd that the stock market information in the form of...

This paper examines the impact of the U.S. monetary policy on the Subprime mortgage crisis using a modified Taylor rule. The main finding is that during the pre-crisis period the short term rate deviated significantly from the estimated taylor rate. This deviation may have been a cause of the...

The political transition in the Arab Spring countries has been accompanied by a deterioration of economic and financial indicators like the Tunisian case. Therefore, this paper aims to get a deeper understanding the nature of the rule that reflects the behavior of the Tunisian monetary authority...

The changing and unpredictable nature of the money demand function has led many Central Banks authorities around the world to shift from exchange rate and monetary policy targeting to inflation targeting framework. The gradual shift to inflation targeting has reawakened interest in the Taylor's...

Asymmetric effects in a monetary policy rule could appear due to asymmetric preferences of the central bank or/and due to nonlinearities in the economic system. It might be suspected that monetary authorities are more aggressive to the inflation rate when it is above its target level than when...