Estimation de la règle de Taylor et identification de la politique monétaire

Stéphane Auray and Patrick Fève

Revue économique, 2003, vol. 54, issue 3, 511-520

Abstract: This paper assesses the joint behavior of the nominal interest rate and the inflation in a sticky prices model with exogenous money growth rule. Using a limited information estimation method, we identify and estimate the relation between the nominal interest rate and the expected inflation implied by the model. The estimated parameter is similar to the one obtained from actual data. This result casts doubt on the identification and estimation methods of the Taylor rule, when this rule is used as a guideline for the central bank to follow. However, if the Taylor rule is considered as a description of the monetary policy, our results suggest that the sticky prices model is able to account for the data. Classification JEL : E4, E5

JEL-codes: E4 E5 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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