Arbeitspapier
Monetary policy rules in emerging countries: Is there an augmented nonlinear Taylor rule?
This paper examines the Taylor rule in five emerging economies, namely Indonesia, Israel, South Korea, Thailand, and Turkey. In particular, it investigates whether monetary policy in these countries can be more accurately described by (i) an augmented rule including the exchange rate, as well as (ii) a nonlinear threshold specification (estimated using GMM), instead of a baseline linear rule. The results suggest that the reaction of monetary authorities to deviations from target of either the inflation or the output gap varies in terms of magnitude and/or statistical significance across the high and low inflation regimes in all countries. In particular, the exchange rate has an impact in the former but not in the latter regime. Overall, an augmented nonlinear Taylor rule appears to capture more accurately the behaviour of monetary authorities in these countries.
- Language
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Englisch
- Bibliographic citation
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Series: DIW Discussion Papers ; No. 1588
- Classification
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Wirtschaft
Estimation: General
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Monetary Policy
Central Banks and Their Policies
- Subject
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Taylor rule
nonlinearities
emerging countries
- Event
-
Geistige Schöpfung
- (who)
-
Caporale, Guglielmo Maria
Çatık, Abdurrahman Nazif
Helmi, Mohamad Husam
Menla Ali, Faek
Akdeniz, Coşkun
- Event
-
Veröffentlichung
- (who)
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Deutsches Institut für Wirtschaftsforschung (DIW)
- (where)
-
Berlin
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caporale, Guglielmo Maria
- Çatık, Abdurrahman Nazif
- Helmi, Mohamad Husam
- Menla Ali, Faek
- Akdeniz, Coşkun
- Deutsches Institut für Wirtschaftsforschung (DIW)
Time of origin
- 2016
Other Objects (12)
Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?
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Taylor rule estimation by OLS
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Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?
Monetary policy rules in emerging countries : Is there an augmented nonlinear Taylor rule?
Tinbergen rules the Taylor Rule
Inflation targeting, credibility and non-linear Taylor rules
The perils of Taylor Rules
Taylor rule estimation by OLS
Taylor Rules and Macroeconomic Instability
Liquidity Traps with Global Taylor Rules
Forecast uncertainty and the Taylor rule
The Taylor Rule: A Spurious Regression?
Sticky information and the Taylor rule
Toward a Taylor rule for fiscal policy
Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?
Monetary policy rules in emerging countries : Is there an augmented nonlinear Taylor rule?
Tinbergen rules the Taylor Rule
Inflation targeting, credibility and non-linear Taylor rules
The perils of Taylor Rules
Taylor rule estimation by OLS
Taylor Rules and Macroeconomic Instability
Liquidity Traps with Global Taylor Rules
Forecast uncertainty and the Taylor rule
The Taylor Rule: A Spurious Regression?
Sticky information and the Taylor rule