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The Taylor rule and house price uncertainty

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  • Bruce Morley
  • Qijia Wei

Abstract

The aim of this article is to determine whether house price uncertainty has been an important determinant of the Taylor rule-based interest rate during the years leading up to the financial crisis. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-based specification has been used to produce a time-varying measure of volatility, and the results indicate that it has had a significant negative effect on the interest rate, but that its addition only produces a slightly better fit to the actual interest rate.

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File URL: http://hdl.handle.net/10.1080/13504851.2011.633882
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 19 (2012)
Issue (Month): 15 (October)
Pages: 1449-1453

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Handle: RePEc:taf:apeclt:v:19:y:2012:i:15:p:1449-1453

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