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Meta T aylor Rules for the UK and A ustralia; Accommodating Regime Uncertainty in Monetary Policy Analysis Using Model Averaging Methods
Author(s) -
Lee Kevin,
Olekalns Nilss,
Shields Kalvinder
Publication year - 2013
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/manc.12000
Subject(s) - taylor rule , monetary policy , economics , econometrics , inference , taylor series , set (abstract data type) , policy analysis , computer science , macroeconomics , mathematics , central bank , artificial intelligence , law , mathematical analysis , political science , programming language
This paper provides a characterization of UK and A ustralian monetary policy within a T aylor rule framework, accommodating uncertainties about the nature and duration of policy regimes in a flexible but easy‐to‐implement analysis. Our approach involves estimation and inference based on a set of T aylor rules obtained through linear regression methods, but combined into a ‘meta’ rule using model averaging techniques. Using data that were available in real time, the estimated version of the meta T aylor rule provides a useful and detailed characterization of monetary policies in the UK and A ustralia over the last 30 years.