Les règles de Taylor à l’épreuve de la révolution: cas de l’Égypte

The Taylor rule to the test of the revolution: the case of Egypt

Yosra Baaziz

MPRA Paper from University Library of Munich, Germany

Abstract: This paper challenges the suitability of a nonlinear Taylor rule in characterizing the monetary policy behavior of Egyptian central bank), especially in turbulent times. More specifically, we investigate the possibility that the Taylor rule should be formulated as a threshold process and examine the validity of such nonlinear Taylor rule as a robust rule for conducting monetary policy in Egypt. Analytical results show that nonlinear Taylor rule holds and that adopting a nonlinear specification instead of the linear leads to a costs reduction in terms of fit: 90 basis point in 2008-Q4 and 20 basis point in post-revolution.

Keywords: nonlinear Taylor rule; Logistic Smooth Transition Regression (LSTR); special events; costs in terms of fit (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2016-02-27
New Economics Papers: this item is included in nep-ara, nep-cba and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:69779

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