Augmenting the Taylor rule: Monetary policy and the bond market

Kenneth D. Roskelley

Economics Letters, 2016, vol. 144, issue C, 64-67

Abstract: I show that augmenting the Taylor rule with bond yields observed at the start of the quarter significantly improves the in-sample and out-of-sample fit. Moreover, the augmented rule produces lower forecast errors than those of linear and non-linear policy models.

Keywords: Taylor rule; Monetary policy; Yield curve; Principal components (search for similar items in EconPapers)
JEL-codes: E52 G12 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:144:y:2016:i:c:p:64-67

DOI: 10.1016/j.econlet.2016.05.002

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