Meta Taylor Rules for the UK and Australia; Accommodating Regime Uncertainty in Monetary Policy Analysis using Model Averaging Methods

Kevin Lee (), Nilss Olekalns and Kalvinder Shields

No 1138, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper provides a characterisation of UK and Australian monetary policy within a Taylor rule framework, accommodating uncertainties about the nature and duration of policy regimes in a flexible but easy-to-implement analysis. Our approach involves estimation and inference based on a set of Taylor rules obtained through linear regression methods, but combined into a ‘meta’ rule using model averaging techniques. Using data that were available in real time, the estimated version of the meta Taylor rule provides a useful and detailed characterisation of monetary policies in the UK and Australia over the last thirty years.

Keywords: Taylor rule; real-time policy; model uncertainty; monetary policy in UK and Australia; interest rates (search for similar items in EconPapers)
JEL-codes: C32 D84 E32 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2012
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Meta Taylor Rules for the UK and Australia; Accommodating Regime Uncertainty in Monetary Policy Analysis Using Model Averaging Methods (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:1138

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