Nonlinear interest rate reaction functions for the UK

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BRÜGGEMANN, Ralf, Jana RIEDEL, 2011. Nonlinear interest rate reaction functions for the UK. In: Economic Modelling. 28(3), pp. 1174-1185. ISSN 0264-9993. Available under: doi: 10.1016/j.econmod.2010.12.005

@article{Bruggemann2011Nonli-18119, title={Nonlinear interest rate reaction functions for the UK}, year={2011}, doi={10.1016/j.econmod.2010.12.005}, number={3}, volume={28}, issn={0264-9993}, journal={Economic Modelling}, pages={1174--1185}, author={Brüggemann, Ralf and Riedel, Jana} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:rights>terms-of-use</dc:rights> <dc:language>eng</dc:language> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:date rdf:datatype="">2012-02-09T13:13:40Z</dc:date> <bibo:uri rdf:resource=""/> <dcterms:bibliographicCitation>Publ. in: Economic Modelling ; 28 (2011), 3. - S. 1174-1185</dcterms:bibliographicCitation> <dcterms:rights rdf:resource=""/> <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 rangewas announced. We conclude that for the analysis of historical monetary policy, the LSTR approach is a viable alternative to linear reaction functions.</dcterms:abstract> <dcterms:issued>2011</dcterms:issued> <dc:creator>Riedel, Jana</dc:creator> <dc:creator>Brüggemann, Ralf</dc:creator> <dcterms:title>Nonlinear interest rate reaction functions for the UK</dcterms:title> <dcterms:isPartOf rdf:resource=""/> <dc:contributor>Brüggemann, Ralf</dc:contributor> <dc:contributor>Riedel, Jana</dc:contributor> <dcterms:available rdf:datatype="">2012-02-09T13:13:40Z</dcterms:available> <dspace:isPartOfCollection rdf:resource=""/> </rdf:Description> </rdf:RDF>

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