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Taylor-Regel und Subprime-Krise - Eine empirische Analyse der US-amerikanischen Geldpolitik
[Taylor Rule and the Subprime Crisis - An Empirical Analysis of the US Monetary Policy]

  • Erler, Alexander
  • Krizanac, Damir

This paper examines the impact of the U.S. monetary policy on the Subprime mortgage crisis using a modified taylor rule. The main finding is that during the pre-crisis period the short term rate deviated significantly from the estimated taylor rate. This deviation may have been a cause of the ongoing financial crisis. However, the evidence also suggests that other factors were certainly at play.

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File URL: http://mpra.ub.uni-muenchen.de/18604/1/MPRA_paper_18604.pdf
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File URL: http://mpra.ub.uni-muenchen.de/19045/3/MPRA_paper_19045.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 18604.

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Date of creation: 13 Nov 2009
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Handle: RePEc:pra:mprapa:18604
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  1. Clarida, Richard & Gali, Jordi & Gertler, Mark, 1997. "Monetary Policy Rules in Practice: Some International Evidence," Working Papers 97-32, C.V. Starr Center for Applied Economics, New York University.
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  14. Kenneth N. Kuttner, 2000. "Monetary policy surprises and interest rates: evidence from the Fed funds futures markets," Staff Reports 99, Federal Reserve Bank of New York.
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  17. Arbeitsgemeinschaft deutscher wirtschaftswissenschaftlicher Forschungsinstitute, 2006. "Die Lage der Weltwirtschaft und der deutschen Wirtschaft im Frühjahr 2006," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 59(08), pages 03-60, 04.
  18. Marvin Goodfriend, 1998. "Using the term structure of interest rates for monetary policy," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 13-30.
  19. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
  20. Rudiger Ahrend & Boris Cournède & Robert W.R. Price, 2008. "Monetary Policy, Market Excesses and Financial Turmoil," OECD Economics Department Working Papers 597, OECD Publishing.
  21. Gern, Klaus-Jürgen & Meier, Carsten-Patrick & Scheide, Joachim, 2006. "Euroland: konjunkturelle Expansion erreicht Höhepunkt," Open Access Publications from Kiel Institute for the World Economy 3892, Kiel Institute for the World Economy (IfW).
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