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Forecasting ECB Policy Rates with Different Monetary Policy Rules

Ansgar Belke () and Jens Klose ()

Czech Journal of Economics and Finance (Finance a uver), 2019, vol. 69, issue 3, 238 - 252

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 European Central Bank. In this respect the basic rules, results from estimates 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: E43 E52 E58 C53 (search for similar items in EconPapers)
Date: 2019
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