A note on Taylor rules and the term structure

Ralf Fendel

Applied Economics Letters, 2009, vol. 16, issue 11, pages 1097-1101

Abstract: This article augments the well-known dynamic macro-economic model of Svensson (1997) to include the term structure of interest rates, in order to support the empirical findings of Fendel and Frenkel (2005) on the information content of the term structure of interest rates for monetary policy published in Applied Economics Letters. The derived Taylor-type rule is an implicit rule that cannot be used mechanically, because it contains an additional forward-looking argument. Only under special conditions of a stable and flat yield curve and/or an aggregate demand specification that only depends on the short-term interest rate this augmented rule collapses to the class of well-known Taylor-type rules.

Date: 2009

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:11:p:1097-1101

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.html

Access Statistics for this article

Applied Economics Letters is edited by Mark Taylor

More articles in Applied Economics Letters from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().