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An empirical study of interest rate determination rules

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  • Keshab Bhattarai

Abstract

This paper finds empirical support for a Taylor (1993) type interest rate determination rule. The model is solved analytically, estimated and used for simulation, impulse response analyses and forecasting with quarterly time series data for the UK and annual time series data for Germany, France, Japan, the UK and the US. The results confirm that such rules implicitly exists during the period of analysis.

Suggested Citation

  • Keshab Bhattarai, 2008. "An empirical study of interest rate determination rules," Applied Financial Economics, Taylor & Francis Journals, vol. 18(4), pages 327-343.
  • Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:327-343
    DOI: 10.1080/09603100500447560
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    Cited by:

    1. Gokcen Ogruk, 2014. "Is Implied Taylor Rule Interest Rate Applicable as a Carry Trade Strategy?," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 909-919.
    2. Sergi Bruno S. & Hsing Yu, 2010. "Responses of Monetary Policy to Inflation, the Output Gap, and Real Exchange Rates: The Case of Australia, Canada, and New Zealand," Global Economy Journal, De Gruyter, vol. 10(2), pages 1-11, May.

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