Estimation of a nonlinear Taylor rule using real-time U.S. data

Zisimos Koustas and Jean-Francois Lamarche ()

No 1005, Working Papers from Brock University, Department of Economics

Abstract: This paper extends the work in Orphanides (2003) by re-examining the empirical evidence for a Taylor rule in a nonlinear framework. In doing so, it updates the Greenbook dataset used by the afore men- tioned author to the most recent available period. A three-regime threshold regression model is utilized to capture the possibly asymmetric policy reaction function used by the U.S. Federal Reserve. The theoretical foundations for such an approach to monetary policy are discussed in Orphanides and Wilcox (2002). Our results indicate that the estimated Taylor rule for the U.S., based on real-time Greenbook data for the period 1982:3-2003:4, is probably nonlinear.

Keywords: Thresholds; Nonlinear Models; Taylor Rule; Real-Time Data (search for similar items in EconPapers)
JEL-codes: C12 C13 E58 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2010-07
New Economics Papers: this item is included in nep-cba, nep-mon and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://brocku.ca/repec/pdf/1005.pdf First version, 2010 (application/pdf)

Related works:
Journal Article: Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:brk:wpaper:1005

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