An empirical study of interest rate determination rules

An empirical study of interest rate determination rules

This paper finds empirical support for a Taylor ( 1993 ) type interest rate determination rule. The model is solved analytically, estimated and used for simulation, impulse response analyses and forecasting with quarterly time series data for the UK and annual time series data for Germany, France, J...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Applied financial economics 2008-03, Vol.18 (4), p.327-343
1. Verfasser: Bhattarai, Keshab
Format: Artikel
Sprache:eng
Schlagworte:
Cross-national analysis
Economic analysis
Economic forecasting
Economic models
Empirical research
Financial economics
Interest rates
Simulation
Studies
Time series
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This paper finds empirical support for a Taylor ( 1993 ) type interest rate determination rule. The model is solved analytically, estimated and used for simulation, impulse response analyses and forecasting with quarterly time series data for the UK and annual time series data for Germany, France, Japan, the UK and the US. The results confirm that such rules implicitly exists during the period of analysis.
ISSN:0960-3107
1466-4305
DOI:10.1080/09603100500447560