The relevance of international spillovers and asymmetric effects in the Taylor rule

Joscha Beckmann, Ansgar Belke and Christian Dreger

No 140, FIW Working Paper series from FIW

Abstract: Deviations of policy interest rates from the levels implied by the Taylor rule have been persistent before the financial crisis and increased especially after the turn of the century. Compared to the Taylor benchmark, policy rates were often too low. This paper provides evidence that both international spillovers, among them dependencies in the interest rate setting of central banks, and nonlinear reaction patterns can offer a more realistic specification of the Taylor rule of four major central banks.

Keywords: Taylor rule; international spillovers; monetary policy interaction; smooth transition models (search for similar items in EconPapers)
JEL-codes: C22 E43 F36 (search for similar items in EconPapers)
Pages: 25
Date: 2015-01
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The relevance of international spillovers and asymmetric effects in the Taylor rule (2017)
Working Paper: The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule (2015)
Working Paper: The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule (2014)
Working Paper: The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule (2014)
Working Paper: The relevance of international spillovers and asymmetric effects in the Taylor rule (2014)
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