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Règle de Taylor et politique monétaire dans la zone euro

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  • Mésonnier, J-S.
  • Renne, J-P.

Abstract

We estimate the reaction function of monetary policy in the Euro area and derive the Taylor-type policy rule that a would-be ECB would have followed since the beginning of the European Monetary System (1979-2003). We first follow the standard GMM methodology developed by Clarida, Galí and Gertler (1998) under the statistically valid assumption of a stationary data set. A detailed robustness analysis is conducted, in order to assess how the estimation results are affected by changes in the period under review, the set of instruments and the way the output gap is computed. Using the Kalman filter, we estimate in particular a measure of the output gap that is consistent with a small macroeconomic model, which constitutes a novelty of our approach. Secondly, we re-estimate the historical interest rate rule under the assumption of non-stationary data over the 1985-2003 period, following a methodology recently proposed by Gerlach-Kristen (2003). These empirical investigations lead to a reasonably robust descriptive tool of the systematic element in the monetary policy that prevailed on average in the "Euro area" over the last two decades.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 117.

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Length: 30 pages
Date of creation: 2004
Date of revision:
Handle: RePEc:bfr:banfra:117

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research

Keywords: Kalman filter ; Monetary policy ; Taylor rule ; Euro area.;

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References

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  1. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  2. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
  3. Gerdesmeier, Dieter & Roffia, Barbara, 2003. "Empirical estimates of reaction functions for the euro area," Working Paper Series 0206, European Central Bank.
  4. Gerlach, Stefan & Smets, Frank, 1999. "Output gaps and monetary policy in the EMU area1," European Economic Review, Elsevier, vol. 43(4-6), pages 801-812, April.
  5. Frank Smets, 2002. "Output gap uncertainty: Does it matter for the Taylor rule?," Empirical Economics, Springer, vol. 27(1), pages 113-129.
  6. Lars E.O. Svensson & Stefan Gerlach, 2001. "Money and inflation in the Euro Area: A case for monetary indicators?," BIS Working Papers 98, Bank for International Settlements.
  7. Jean-Guillaume Sahuc, 2002. "A 'hybrid' monetary policy model: evidence from the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 9(14), pages 949-955.
  8. Huang, Angela & Margaritis, Dimitri & Mayes, David, 2001. "Monetary policy rules in practice: Evidence from New Zealand," Research Discussion Papers 18/2001, Bank of Finland.
  9. repec:fth:bfdipa:18/2001 is not listed on IDEAS
  10. Charles T. Carlstrom & Timothy S. Fuerst, 2000. "Forward-looking versus backward-looking Taylor rules," Working Paper 0009, Federal Reserve Bank of Cleveland.
  11. Efrem Castelnuovo, 2006. "Describing The Fed’S Conduct With Taylor Rules: Is Interest Rate Smoothing Important?," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 57-77, August.
  12. Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "An empirical comparison of Bundesbank and ECB monetary policy rules," International Finance Discussion Papers 705, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. Imen Mohamed Sghaier & Zouheir Abida, 2013. "Monetary Policy Rules for a Developing Countries: Evidence from Tunisia," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(1), pages 035-046, June.
  2. KAMGNA, Severin Yves & NGUENANG, Christian & TALABONG, Hervé & OULD, Isselmou, 2009. "Fonction de reaction de la banque centrale et credibilite de la politique monétaire: Cas de la BEAC
    [Central Bank reaction fonction and monetary policy credibility: The case of BEAC]
    ," MPRA Paper 16557, University Library of Munich, Germany.
  3. Cécile Bastidon, 2013. "Un modèle théorique d'intermédiation : transmission et gestion des chocs," Post-Print hal-00806524, HAL.

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