Advanced search
Publication Cover
Applied Economics Letters Volume 26, 2019 - Issue 12
Submit an article Journal homepage
220
Views
2
CrossRef citations to date
0
Altmetric
Articles

New insights into the non-linearity of the ECB Taylor Rule

C. A. NebotDepartamento de Ciencias Económicas y Jurídicas, UPCT-CUD San Javier, Murcia, SpainCorrespondence[email protected]
,
J. Garcia-SolanesDepartamento de Fundamentos de Análisis Económico, Universidad de Murcia, Murcia, Spain
&
A. BeyaertDepartamento de Fundamentos de Análisis Económico, Universidad de Murcia, Murcia, Spain;Departamento de Métodos Cuantitativos para la Economía y la Empresa, Universidad de Murica, Murica, Spain
Pages 1044-1048 | Published online: 03 Oct 2018

References

  • Aguiar, A., and M. M. Martins. 2008. “Testing for Asymmetries in the Preferences of the Euro-Area Monetary Policymaker.” Applied Economics 40 (13): 1651–1667. doi:10.1080/00036840600870999.
  • Baum, C. F., and M. Karasulu. 1997. “Modelling Federal Reserve Discount Policy.” Computational Economics 11 (1–2): 53–70. doi:10.1023/A:1008622613557.
  • Friedman, J. H. 1991. “Multivariate Adaptive Regression Splines.” The Annals of Statistics 19 (1): 1–67. doi:10.1214/aos/1176347963.
  • Gerdesmeier, D., and B. Roffia (2004). Taylor Rules for the Euro Area: The Issue of Real-Time Data. Technical report, Deutsche Bundesbank, Research Centre.
  • Gerlach, S., and G. Schnabel. 2000. “The Taylor Rule and Interest Rates in the Emu Area.” Economics Letters 67 (2): 165–171. doi:10.1016/S0165-1765(99)00263-3.
  • Gerlach, S., and J. Lewis. 2014a. “Ecb Reaction Functions and the Crisis of 2008.” International Journal of Central Banking 10 (1): 137–158.
  • Gerlach, S., and J. Lewis. 2014b. “Zero Lower Bound, Ecb Interest Rate Policy and the Financial Crisis.” Empirical Economics 46 (3): 865–886. doi:10.1007/s00181-013-0713-6.
  • Hodrick, R. J., and E. C. Prescott. 1997. “Postwar Us Business Cycles: An Empirical Investigation.” Journal of Money, Credit, and Banking 1–16. doi:10.2307/2953682.
  • Ikeda, T. 2010. “Time-Varying Asymmetries in Central Bank Preferences: The Case of the Ecb.” Journal of Macroeconomics 32 (4): 1054–1066. doi:10.1016/j.jmacro.2010.07.003.
  • Judd, J. P., and G. D. Rudebusch. 1998. “Taylor’s Rule and the Fed: 1970-1997.” Economic Review-Federal Reserve Bank of San Francisco, no. 3: 3-16.
  • Keogh, G. (2010). Univariate Time Series Modelling and Forecasting Using TSMARS. Theory of probability, stochastics, mathematical statistics. LAP LAMBERT Academic Publishing.
  • Klose, J. 2011. “Asymmetric Taylor Reaction Functions of the Ecb: An Approach Depending on the State of the Economy.” The North American Journal of Economics and Finance 22 (2): 149–163. doi:10.1016/j.najef.2011.01.002.
  • Kulikauskas, D. 2014. “Nonlinear Taylor Rule for the European Central Bank.” Economics Bulletin 34 (3): 1798–1804.
  • Lewis, P. A., and J. G. Stevens. 1991. “Nonlinear Modeling of Time Series Using Multivariate Adaptive Regression Splines (Mars).” Journal of the American Statistical Association 86 (416): 864–877. doi:10.1080/01621459.1991.10475126.
  • Milborrow, S. 2015. Plotmo: Plot a Model’ S Response and Residuals.R package version, 3(3).
  • Milborrow, S. 2016.  earth: Multivariate Adaptive Regression Spline Models. R package version, 2-4. http://CRAN.
  • Nebot, C., J. Garca-Solanes, and A. Beyaert. 2016. Thresholds in the Nonlinear Taylor Rule. Simposio de la Asociación Española de Economía-Spanish Economic Association (SAEe),  Bilbao, Spain
  • Shen, C.-H., & Hakes, David R. 1995. “Monetary Policy as a Decision-Making Hierarchy: The Case of Taiwan.” Journal of Macroeconomics 17 (2): 357–368. DOI:10.1016/0164-0704(95)80107-3.
  • Surico, P. 2007. “The Monetary Policy of the European Central Bank.” The Scandinavian Journal of Economics 109 (1): 115–135. doi:10.1111/sjoe.2007.109.issue-1.
  • Taylor, J. B. 1999. “A Historical Analysis of Monetary Policy Rules.” In Monetary Policy Rules, NBER Chapters, 319–348. National Bureau of Economic Research.
  • Tong, H. 1983. Threshold Models in Non-Linear Time Series Analysis. Lecture Notes in Statistics. New York. doi:10.1007/978-1-4684-7888-;4.
  • Tong, H., and K. S. Lim. 1980. “Threshold Autoregression, Limit Cycles and Cyclical Data.” Journal of the Royal Statistical Society. Series B (Methodological) 42(3): 245–292.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.