The Meta Taylor Rule

Kevin Lee, James Morley and Kalvinder Shields

Discussion Papers from University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM)

Abstract: This paper provides a characterisation of U.S. monetary policy within a generalized Tay¬lor rule framework that accommodates uncertainties about the duration of policy regimes and the speciÞcation of the rule, in addition to the standard parameter and stochastic un¬certainties inherent in traditional Taylor rule analysis. Our approach involves estimation and inference based on Taylor rules obtained through standard linear regression methods, but combined using Bayesian model averaging techniques. Employing data that were available in real time, the estimated version of the ‘meta’ Taylor rule provides a ßexible but compelling characterisation of monetary policy in the United States over the last forty years.

Keywords: Taylor rule; real-time policy; model uncertainty; US interest rates. (search for similar items in EconPapers)
Date: 2011-07
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The Meta Taylor Rule (2015)
Working Paper: The Meta Taylor Rule (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:not:notcfc:11/07

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