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'Ex-ante' Taylor rules - Newly discovered evidence from the G7 countries

  • Fendel, Ralf
  • Frenkel, Michael
  • Rülke, Jan-Christoph
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    This paper addresses the question of whether financial market participants apply the framework of Taylor-type rules in their forecasts for the G7 countries. To this end, we use the Consensus Economic Forecast poll providing us a unique data set of inflation rate, interest rate and growth rate forecasts for the time period 1989-2008. We provide empirical evidence that financial market participants incorporate Taylor-type rules in their forecasts. Thus, the paper uses ex-ante data for the estimation of Taylor rules. This is a new approach, because so far only ex-post (revised) or real-time data have been applied.

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    Article provided by Elsevier in its journal Journal of Macroeconomics.

    Volume (Year): 33 (2011)
    Issue (Month): 2 (June)
    Pages: 224-232

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    Handle: RePEc:eee:jmacro:v:33:y:2011:i:2:p:224-232
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