The Meta Taylor Rule

Kevin Lee, James Morley and Kalvinder Sheields
Authors registered in the RePEc Author Service: Kevin Lee () and James Morley

No 1131, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper provides a characterisation of U.S. monetary policy within a generalized Taylor rule framework that accommodates uncertainties about the duration of policy regimes and the specification of the rule, in addition to the standard parameter and stochastic uncertainties inherent in traditional Taylor rule analysis. Our approach involves estimation and inference based on Taylor rules obtained through standard linear regression methods, but combined using Bayesian model averaging techniques. Employing data that were available in real time, the estimated version of the ‘meta’ Taylor rule provides a flexible but compelling characterisation of monetary policy in the United States over the last forty years.

Keywords: Taylor rule; real-time policy; model uncertainty; US interest rates (search for similar items in EconPapers)
JEL-codes: C32 D84 E32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: The Meta Taylor Rule (2015)
Working Paper: The Meta Taylor Rule (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:1131

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