Taylor rules for the ECB using expectations data

Jan Gorter; J.P.A.M. Jacobs; J. de Haan

doi:10.1111/j.1467-9442.2008.00547.x

Taylor rules for the ECB using expectations data

Jan Gorter, J.P.A.M. Jacobs, J. de Haan

Research output: Contribution to journal › Article › Academic › peer-review

68 Citations (Scopus)

Abstract

We estimate Taylor rules for the euro area using Consensus Economics data for expected inflation and output growth, and compare these estimates with more conventional specifications in which actual outcomes are used. We find that the ECB takes expected inflation and expected output growth into account in setting interest rates, while in the more conventional model specification, the coefficient of realized inflation is not significantly different from zero.

Original language	English
Pages (from-to)	473-488
Number of pages	16
Journal	Scandinavian Journal of Economics
Volume	110
Issue number	3
DOIs	https://doi.org/10.1111/j.1467-9442.2008.00547.x
Publication status	Published - 2008

Keywords

Taylor rule
ECB
real-time data
policy inertia
serial correlation
MONETARY-POLICY RULES
AUTOREGRESSIVE TIME-SERIES
EUROPEAN-CENTRAL-BANK
INTEREST-RATES
UNIT-ROOT
AREA

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KW - ECB

KW - real-time data

KW - policy inertia

KW - serial correlation

KW - MONETARY-POLICY RULES

KW - AUTOREGRESSIVE TIME-SERIES

KW - EUROPEAN-CENTRAL-BANK

KW - INTEREST-RATES

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EP - 488

JO - Scandinavian Journal of Economics

JF - Scandinavian Journal of Economics

IS - 3

ER -

Taylor rules for the ECB using expectations data

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