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Nonlinear Taylor rule for the European Central Bank

Author

Listed:
  • Darius Kulikauskas

    (Vilnius University)

Abstract

In this paper I add to the evidence on possible nonlinearities in the conduct of ECB monetary policy. For this purpose a nonlinear Taylor rule (threshold regression) was estimated and compared to a linear benchmark model. The estimation was carried out with output gap data computed from quarterly GDP time series. The results show that a nonlinear Taylor rule fits the data better than a linear one.

Suggested Citation

  • Darius Kulikauskas, 2014. "Nonlinear Taylor rule for the European Central Bank," Economics Bulletin, AccessEcon, vol. 34(3), pages 1798-1804.
    • Handle: RePEc:ebl:ecbull:eb-14-00705
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    File URL: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I3-P165.pdf
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    References listed on IDEAS

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    6. Kenneth Petersen, 2007. "Does the Federal Reserve Follow a Non-Linear Taylor Rule?," Working papers 2007-37, University of Connecticut, Department of Economics.
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    9. Cukierman Alex & Muscatelli Anton, 2008. "Nonlinear Taylor Rules and Asymmetric Preferences in Central Banking: Evidence from the United Kingdom and the United States," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-31, February.
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    Cited by:

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    3. Keshab Bhattarai & Matthew Carter, 2018. "An Empirical Analysis of the Taylor Rule and its Application to Monetary Policy: A Case for the United Kingdom and Euro Area," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 5(2), pages 173-182.
    4. utku altunöz, 2022. "Describing of central banks’ monetary policy in the context to linear and nonlinear taylor rule: the case of Turkey," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4641-4662, December.

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    More about this item

    Keywords

    Taylor rule; monetary policy; threshold; European Central Bank; ECB; nonlinear;
    All these keywords.

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E0 - Macroeconomics and Monetary Economics - - General

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