Règle de Taylor et politique monétaire dans la zone euro
AbstractWe 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 InfoPaper provided by Banque de France in its series Working papers with number 117.
Length: 30 pages
Date of creation: 2004
Date of revision:
Kalman filter ; Monetary policy ; Taylor rule ; Euro area.;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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