Forecasting with the Taylor rule

Ivo Arnold () and Evert Vrugt

Applied Financial Economics, 2012, vol. 22, issue 18, 1501-1510

Abstract: This article uses the Survey of Professional Forecasters (SPF) to investigate the added value of the Taylor rule in interest rate forecasting. We interpret the Taylor rule as a set of macroeconomic restrictions that can be imposed on each individual professional forecaster's predictions of interest rates, inflation and economic activity. We study whether conforming to these restrictions improves forecast accuracy. We find that using the Taylor rule improves forecasts four quarters ahead and conclude that the Taylor rule is a useful tool in forming expectations about future monetary policy.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2012.665592 (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: https://EconPapers.repec.org/RePEc:taf:apfiec:v:22:y:2012:i:18:p:1501-1510

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603107.2012.665592

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().