Nonlinear interest rate reaction functions for the UK

Zitieren

Dateien zu dieser Ressource

Prüfsumme: MD5:92e40d4346b5313f2964846d9a38290c

BRÜGGEMANN, Ralf, Jana RIEDEL, 2010. Nonlinear interest rate reaction functions for the UK

@techreport{Bruggemann2010Nonli-13469, series={Working Paper Series / Department of Economics}, title={Nonlinear interest rate reaction functions for the UK}, year={2010}, number={2010-15}, author={Brüggemann, Ralf and Riedel, Jana} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/13469"> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-10-13T13:46:34Z</dcterms:available> <dc:contributor>Brüggemann, Ralf</dc:contributor> <dc:contributor>Riedel, Jana</dc:contributor> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103605204-4002607-1"/> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/13469"/> <dc:language>eng</dc:language> <dcterms:issued>2010</dcterms:issued> <dcterms:abstract xml:lang="eng">We empirically analyze Taylor-type equations for short-term interest rates in the United Kingdom using quarterly data from 1970Q1 to 2006Q2. Starting from strong evidence against a simple linear Taylor rule, we model nonlinearities using logistic smooth transition regression (LSTR) models. The LSTR models with time-varying parameters consistently track actual interest rate movements better than a linear model with constant parameters. Our preferred LSTR model uses lagged interest rates as a transition variable and suggests that in times of recessions the Bank of England puts more weight on the output gap and less so on inflation. A reverse pattern is observed in non-recession periods. Parameters of the model change less frequently after 1992, when an inflation target range was announced. We conclude that for the analysis of historical monetary policy, the LSTR approach is a viable alternative to linear reaction functions.</dcterms:abstract> <dc:creator>Riedel, Jana</dc:creator> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-10-13T13:46:34Z</dc:date> <dcterms:title>Nonlinear interest rate reaction functions for the UK</dcterms:title> <dc:creator>Brüggemann, Ralf</dc:creator> <dc:rights>deposit-license</dc:rights> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

Brueggemann_134697.pdf 109

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto