Taylor rules with real-time data: A tale of two countries and one exchange rate

• 成果类型: Article
• 署名作者: Molodtsova, Tanya; Nikolsko-Rzhevskyy, Alex; Papell, David H.
• 署名单位: University of Houston System; University of Houston; Emory University; University of Memphis
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.07.003
• 发表日期: 2008
• 页码: S63-S79
• 关键词: Taylor rules; Real-time data; Exchange rates; Out-of-sample exchange rate predictability; Monetary policy evaluation

摘要

Using real-time data that reflects information available to monetary authorities at the time they are formulating policy, we find that estimated Taylor rules based on revised and real-time data differ more for Germany than for the U.S., Taylor rules using real-time data suggest differences between U.S. and German monetary policies, and Taylor rules for the U.S. using inflation forecasts are nearly identical to those using lagged inflation rates. Evidence of out-of-sample predictability for the dollar/mark nominal exchange rate with forecasts based on Taylor rule fundamentals is only found with realtime data and does not increase if inflation forecasts are used. (C) 2008 Elsevier B.V. All rights reserved.