Arbeitspapier
Forecasting ECB policy rates with different monetary policy rules
This article compares two types of monetary policy rules - the Taylor-Rule and the Orphanides-Rule - with respect to their forecasting properties for the policy rates of the European Central Bank. In this respect the basic rules, results from estimated models and augmented rules are compared. Using quarterly real-time data from 1999 to the beginning of 2019, we find that an estimated Orphanides-Rule performs best in nowcasts, while it is outperformed by an augmented Taylor-Rule when it comes to forecasts. However, also a no-change rule delivers good results for forecasts, which is hard to beat for most policy rules.
- Sprache
-
Englisch
- Erschienen in
-
Series: ROME Discussion Paper Series ; No. 2019-06
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Central Banks and Their Policies
Forecasting Models; Simulation Methods
- Thema
-
Taylor-Rule
Orphanides-Rule
Monetary Policy Rates
Forecasting
European Central Bank
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Belke, Ansgar
Klose, Jens
- Ereignis
-
Veröffentlichung
- (wer)
-
Research On Money in the Economy (ROME)
- (wo)
-
s.l.
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Belke, Ansgar
- Klose, Jens
- Research On Money in the Economy (ROME)
Entstanden
- 2019
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