Forecasting ECB policy rates with different monetary policy rules

Ansgar Belke and Jens Klose

No 815, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

Abstract: This article compares two types of monetary policy rules - the Taylor-Rule and the Orphanides-Rule - with respect to their forecasting properties for the policy rates of the European Central Bank. In this respect the basic rules, results from estimated models and augmented rules are compared. Using quarterly real-time data from 1999 to the beginning of 2019, we find that an estimated Orphanides-Rule performs best in nowcasts, while it is outperformed by an augmented Taylor-Rule when it comes to forecasts. However, also a no-change rule delivers good results for forecasts, which is hard to beat for most policy rules.

Keywords: Taylor-Rule; Orphanides-Rule; monetary policy rates; forecasting; European Central Bank (search for similar items in EconPapers)
JEL-codes: C53 E43 E52 E58 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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https://www.econstor.eu/bitstream/10419/201014/1/1670163385.pdf (application/pdf)

Related works:
Journal Article: Forecasting ECB Policy Rates with Different Monetary Policy Rules (2019)
Working Paper: Forecasting ECB Policy Rates with Different Monetary Policy Rules (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:rwirep:815

DOI: 10.4419/86788944

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