Taylor rules with real-time data: A tale of two countries and one exchange rate

Tanya Molodtsova (), Alex Nikolsko-Rzhevskyy and David Papell

Journal of Monetary Economics, 2008, vol. 55, issue Supplement 1, S63-S79

Abstract: Using real-time data that reflects information available to monetary authorities at the time they are formulating policy, we find that estimated Taylor rules based on revised and real-time data differ more for Germany than for the U.S., Taylor rules using real-time data suggest differences between U.S. and German monetary policies, and Taylor rules for the U.S. using inflation forecasts are nearly identical to those using lagged inflation rates. Evidence of out-of-sample predictability for the dollar/mark nominal exchange rate with forecasts based on Taylor rule fundamentals is only found with real-time data and does not increase if inflation forecasts are used.

Keywords: Taylor; rules; Real-time; data; Exchange; rates; Out-of-sample; exchange; rate; predictability; Monetary; policy; evaluation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (136)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:55:y:2008:i:s1:p:s63-s79

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