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"Ex-ante" Taylor rules

  • This paper addresses the question whether financial market participants apply the framework of Taylor-type rules in their forecasts for the G7 countries. Therefore, we use the Consensus Economic Forecast poll providing us a unique data set of inflation, interest and growth rate forecasts for the time period 1989 - 2007. We provide evidence that Taylor-type rules frameworks are present in forecasts of financial markets. Thus, the paper, uses ex-ante data for the estimation of Taylor rules. This is novel, since so far only ex-post (revised) or real-time data have been applied.

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Metadaten
Author:Ralf Fendel, Michael Frenkel, Jan-Christoph Rülke
URN:urn:nbn:de:hbz:992-opus4-5151
Subtitle (English):newly discovered evidence from the G7 countries
Series (Serial Number):WHU – Working Paper Series in Economics (WP 08/03)
Publisher:WHU - Otto Beisheim School of Management
Place of publication:Vallendar
Document Type:Working Paper
Language:English
Date of Publication (online):2017/11/21
Release Date:2017/11/21
Tag:Erwartungsbildung; Geldpolitik; Taylor-Regel
Expectation formation; Monetary policy; Taylor rule
Page Number:23
Institutes:WHU Economics Group / Chair of Monetary Economics
JEL-Classification:C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C33 Models with Panel Data
D Microeconomics / D8 Information, Knowledge, and Uncertainty / D84 Expectations; Speculations
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E52 Monetary Policy
Licence (German):Copyright for this publication