We are excited to announce that the repository will soon undergo an upgrade, featuring a new look and feel along with several enhanced features to improve your experience. Please be on the lookout for further updates and announcements regarding the launch date. We appreciate your support and look forward to unveiling the improved platform soon.
dc.contributor.author | Milas, Costas![]() |
|
dc.contributor.upauthor | Naraidoo, Ruthira | |
dc.date.accessioned | 2010-04-06T07:03:32Z | |
dc.date.available | 2010-04-06T07:03:32Z | |
dc.date.issued | 2009-10 | |
dc.description.abstract | We explore how the ECB sets interest rates in the context of policy reaction functions. Using both real-time and revised information, we consider linear and nonlinear policy functions in inflation, output and a measure of financial conditions. We find that amongst Taylor rule models, linear and nonlinear models are empirically indistinguishable within sample and that model specifications with real-time data provide the best description of in-sample ECB interest rate setting behavior. The 2007-2009 financial crisis witnesses a shift from inflation targeting to output stabilisation and a shift, from an asymmetric policy response to financial conditions at high inflation rates, to a more symmetric response irrespectively of the state of inflation. Finally, without imposing an a priori choice of parametric functional form, semiparametric models forecast out-of-sample better than linear and nonlinear Taylor rule models. | en |
dc.identifier.citation | Milas, C & Naraidoo, R 2009, 'Financial market conditions, real time, nonlinearity and European Central Bank monetary policy: in-sample and out-of-sample assessment', University of Pretoria, Department of Economics, Working paper series, no. 2009-23. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3] | en |
dc.identifier.uri | http://hdl.handle.net/2263/13776 | |
dc.language.iso | en | en_US |
dc.publisher | University of Pretoria, Department of Economics | en_US |
dc.relation.ispartofseries | Working Paper (University of Pretoria, Department of Economics) | en_US |
dc.relation.ispartofseries | 2009-23 | en_US |
dc.rights | University of Pretoria, Department of Economics | en_US |
dc.subject | Nonlinearity (Mathematics) | en |
dc.subject | Real time data | en |
dc.subject | Financial conditions index | en |
dc.subject | European Central Bank (ECB) | en |
dc.subject.lcsh | Monetary policy -- Mathematical models | en |
dc.subject.lcsh | Nonlinear theories | en |
dc.subject.lcsh | Interest rates | en |
dc.subject.lcsh | Taylor's rule | en |
dc.title | Financial market conditions, real time, nonlinearity and European Central Bank monetary policy : in-sample and out-of-sample assessment | en |
dc.type | Working Paper | en |