Taylor rule in practice : Evidence from tunisia

Chaouech, Olfa (2015): Taylor rule in practice : Evidence from tunisia.

Abstract

This paper estimates the Taylor rule under the static version, then the dynamic version of the Central bank of Tunisia (CBT), using monthly data from 2002:Q1 to 2014:Q12. The empirical results indicate that the CBT followed the Taylor rule in its dynamic version.

• Item Type: MPRA Paper
• Language: English
• Keywords: Tylor rule, GMM, Monetary policy, Reaction function
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy

References

Aklan, N. A., Nargelecekenler, M. (2008) ‘Taylor rule in practice: Evidence from Turkey’, International Advances in Economic Research, 14(2), 156-166.

Amato, J. D., & Laubach, T. (1999) ‘The value of interest rate smoothing: How the private sector helps the federal reserve’, Federal Reserve Bank of Kansas City Economic Review, 84(3), 47–64.

Amiri, K., Talbi, B. (2013) ‘Règle de Taylor dans le cadre du ciblage d'inflation: cas de la Tunisie’, La Revue Gestion et Organisation, volume 5, Issue 2, pages 176-182.

Ball, L. (1997). ʻEfficient rules for monetary policyʼ, NBER Working Paper, No. 5952, March.

Ball, L. (1999). ʻPolicy Rules for Open Economies. In: Taylor, John B. (Ed)., Monetary Policy Rulesʼ, University of Chicago Press, Chicago.

Clarida, R., Gali, J., & Gertler, M. (1998) ʻMonetary policy rules in practice: Some international evidenceʼ, European Economic Review, 42(6), 1033–1067.

Clarida, R., Gali, J., Gertler, M. (1999) ʻThe science of monetary policy: A new Keynesian perspectiveʼ, Journal of Economic Literature, 37(4), 1661–1707.

Clarida, R., Gali, J., Gertler, M. (2000)ʻMonetary policy rules and macroeconomic stability: Evidence and some theoryʼ The Quarterly Journal of Economics, 65(1), 147–180.

De Carvalho, A. (2012) ʻInterest rate market forecasts and Taylor rules in Latin American countriesʼ, The 32nd Annual International Symposium on Forecasting, International Institute of Forecasters, June, 24- 27, 2012, Boston, USA. Retrieved from http://www.forecasters.org/ proceedings 12/CARVALHOALEXANDREISF2012, pdf.

Ftiti, Z.(2010) ʻPolitique de ciblage d'inflation: règles de conduite, efficacité, performanceʼ, Thèse de doctorat en Science économique, Université Lumière Lyon 2.

Gali, J., Gertler, M., (1998)ʻInflation dynamic: A structural econometric analysisʼ, Economics Working Papers 341, Department of Economics and Business, Universitat Pompeu Fabra.

Gerdesmeier, D., Roffia, B. (2003) ʻEmpirical estimates of reaction functions for the Euro areaʼ. ECB Working Paper Series no. 206, January.

Gerlach, S., Schnabel, G. (2000). ʻThe Taylor rule and interest rates in the EMU areaʼ, Economics Letters, 67(2), 165–171.

Ghadha, J, S., Sarno.L, Valente.G. (2004). ʻMonetary Policy Rules, Asset Prices and Exchange Ratesʼ, CDMA Working Paper Series 200403, Centre for Dynamic Macroeconomic Analysis.

Gorter, J., Jacobs, J., De Haan, J. (2008). ʻTaylor Rules for the ECB using Expectations Dataʼ, The Scandinavian Journal of Economics, Volume 110, Issue 3, pages 473–488.

Hansen, L. (1982) ʻLarge sample properties of generalized method of moments estimatorsʼ, Econometrica, 50(4), 1029–1054.

Huston, J., & Spencer, R. (2005) ʻInternational monetary policy: A global Taylor ruleʼ, International Advances in Economic Research, 11(2), 125–134.

Khalaf, L., & Kichian, M. (2004) ʻEstimating New Keynesian Phillips curves using exact methodsʼ, Bank of Canada Working Papers, No. 11, April.

King, M. A. (1997) ʻChanges in UK monetary policy: Rules and discretion in practiceʼ, Journal of Monetary Economics, 39(1), 81–97.

Kozicki, S. (1999). ʻHow Useful Are Taylor Rules for Monetary Policyʼ, Economic Review, Federal Reserve Bank of Kansas City, second quarter.

Kuttner, K. (2004) ʻThe role of policy rules in inflation targetingʼ, Federal Reserve Bank of St. Louis Review, 86(4), 89–111.

Levin, A., Volker, W., Williams, J. (1999) ʻRobustness of simple monetary policy rules. In J. Taylor (Ed.) ʼ, Monetary policy rules (pp. 263–319), Chicago: University of Chicago Press.

Lucas R. E. (1972) ʻExpectations and Neutrality of Moneyʼ, Journal of Economic Theory, 4, pp. 103-124.

Lucas R. E. (1973) ʻSome international evidence on output-inflation tradeoffs, The American Economic Review, vol. 63, p.326-334.

Lucas R. E. (1976) ʻEconomic Policy Evaluation: A Critiqueʼ, Carnegie-Rochester Conference Series on Public Policy 1, 1, pp, 19-46.

David Mayes & Matti Virén, 2000 ʻThe exchange rate and monetary conditions in the Euro areaʼ, Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(2), pages 199-231, June.

McCallum, B. (2000) ʻAlternative monetary policy rules: A comparison with historical settings for the United States, the United Kingdom, and Japanʼ, Federal Reserve Bank of Richmond Economic Quarterly, 86(1), 49–77.

McCallum, B. T. (1993) ʻDiscretion versus policy rules in practice: two critical pointsʼ, a comment, Carnegie-Rochester Conference Series on Public Policy 39, 215–220.

Orphanides, A. (2001) ʻMonetary policy rules, macroeconomic stability and inflation: A view from the trenchesʼ, European Central Bank Working Paper Series No. 115, December.

Rudebusch, G. (2002) ʻTerm structure evidence on interest rate smoothing and monetary policy inertiaʼ, Journal of Monetary Economics, 49(6), 1161–1187.

Svensson, L. E. O. (1997) ʻInflation forecast targeting: Implementing and monitoring inflation targetsʼ, European Economic Review, 41(6), 1111–1146.

Svensson, L. E. O. (1999)ʻ Inflation targeting as a monetary policy rule?ʼ Journal of Monetary Economics, 43(3), 607–654.

Svensson, L. E. O. (2000) ʻOpen-Economy Inflation Targetingʼ, Journal of International Economics, 655-79.

Svensson, L. E. O. (2002) ʻWhat is woron with Taylor Rule?ʼ, Unsing judgment in Monetary Policy through targeting rules, Working papers, Princeton University, Department of Economics, Center for Economic Policy Studies, 118.

Svensson, L. E. (2003)ʻ What is wrong with Taylor rules? Using judgment in monetary policy through targeting rulesʼ, Journal of Economic Literature, XLI, 426–77.

Taylor, J. (1993) ʻDiscretion versus policy rules in practiceʼ, Carnegie-Rochester Conference Series on Public Policy, 39, 195–214.

Taylor, J. (1999) ʻAn historical analysis of monetary policy rulesʼ, In J. Taylor (Ed.) Monetary policy rules, pp. 319–347, Chicago: University of Chicago Press.

Taylor, P. M., & Davradakis, E. (2006) ʻInterest rate setting and inflation targeting: Evidence of a nonlinear Taylor rule for the United Kingdomʼ, Studies in Nonlinear Dynamics and Econometrics, 10 (4), 1–20.

Vegh, C. (2001) ʻMonetary policy interest rate rules and inflation targeting: Some basic equivalencesʼ, NBER Working Papers No. 8684, December.

Woodford M. (2004) ʻInflation targeting and optimal monetary policyʼ, Federal Reserve Bank of St-Louis, 07, pp.15-42.

Yazgan, E., & Yılmazkuday, H. (2007)ʻ Monetary policy rules in practice: Evidence from Turkey and Israelʼ, Applied Financial Economics, 17(1), 1–8.