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'Ex-ante' Taylor rules - Newly discovered evidence from the G7 countries

Ralf Fendel, Michael Frenkel and Jan-Christoph Rülke

No 08-03, WHU Working Paper Series - Economics Group from WHU - Otto Beisheim School of Management

Abstract: This paper addresses the question whether financial market participants apply the framework of Taylor-type rules in their forecasts for the G7 countries. Therefore, we use the Consensus Economic Forecast poll providing us a unique data set of inflation, interest and growth rate forecasts for the time period 1989 - 2007. We provide evidence that Taylor-type rules frameworks are present in forecasts of financial markets. Thus, the paper, uses ex-ante data for the estimation of Taylor rules. This is novel, since so far only ex-post (revised) or real-time data have been applied.

Keywords: Taylor rule; expectation formation; monetary policy (search for similar items in EconPapers)
JEL-codes: E52 D84 C33 (search for similar items in EconPapers)
Date: 2008-08
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Published Journal of Macroeconomics, Volume 33, Issue 2, June 2011, Pages 224–232

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Persistent link: https://EconPapers.repec.org/RePEc:whu:wpaper:08-03

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