IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: https://mpra.ub.uni-muenchen.de/18604/1/MPRA_paper_18604.pdf
File Function: original version
Download Restriction: no

File URL: https://mpra.ub.uni-muenchen.de/19045/3/MPRA_paper_19045.pdf
File Function: revised version
Download Restriction: no

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 18604.

as
in new window

Length:
Date of creation: 13 Nov 2009
Date of revision:
Handle: RePEc:pra:mprapa:18604
Contact details of provider: Postal:
Ludwigstraße 33, D-80539 Munich, Germany

Phone: +49-(0)89-2180-2459
Fax: +49-(0)89-2180-992459
Web page: https://mpra.ub.uni-muenchen.de

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. John Taylor, 2007. "Housing and Monetary Policy," Discussion Papers 07-003, Stanford Institute for Economic Policy Research.
  2. Clarida, Richard & Gali, Jordi & Gertler, Mark, 1998. "Monetary policy rules in practice Some international evidence," European Economic Review, Elsevier, vol. 42(6), pages 1033-1067, June.
  3. 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.
  4. Brian P. Sack & Volker W. Wieland, 1999. "Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence," Finance and Economics Discussion Series 1999-39, Board of Governors of the Federal Reserve System (U.S.).
  5. S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
  6. Tao Wu, 2008. "Accounting for the bond-yield conundrum," Economic Letter, Federal Reserve Bank of Dallas, vol. 3(feb).
  7. Corporate author, 2006. "Die Lage der Weltwirtschaft und der deutschen Wirtschaft im Frühjahr 2006," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 73(18), pages 225-286.
  8. John B. Taylor, 1999. "A Historical Analysis of Monetary Policy Rules," NBER Chapters, in: Monetary Policy Rules, pages 319-348 National Bureau of Economic Research, Inc.
  9. David E. Runkle, 1998. "Revisionist history: how data revisions distort economic policy research," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12.
  10. James H. Stock & Mark W. Watson, 2003. "Has the Business Cycle Changed and Why?," NBER Chapters, in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230 National Bureau of Economic Research, Inc.
  11. Gerlach-Kristen, Petra, 2003. "Interest rate reaction functions and the Taylor rule in the euro area," Working Paper Series 0258, European Central Bank.
  12. 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).
  13. Clausen, Jens R. & Meier, Carsten-Patrick, 2003. "Did the Bundesbank follow a Taylor rule? An analysis based on real-time data," Kiel Working Papers 1180, Kiel Institute for the World Economy (IfW).
  14. William Poole, 2006. "Understanding the Fed," Speech 103, Federal Reserve Bank of St. Louis.
  15. 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.
  16. Gerlach, Stefan & Schnabel, Gert, 1999. "The Taylor Rule and Interest Rates in the EMU Area," CEPR Discussion Papers 2271, C.E.P.R. Discussion Papers.
  17. Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.).
  18. Arbeitsgemeinschaft deutscher wirtschaftswissenschaftlicher Forschungsinstitute, 2006. "Die Lage der Weltwirtschaft und der deutschen Wirtschaft im Frühjahr 2006," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(08), pages 03-60, 04.
  19. 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.
  20. John B. Taylor, 2009. "The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong," NBER Working Papers 14631, National Bureau of Economic Research, Inc.
  21. Rudiger Ahrend & Boris Cournède & Robert W. R. Price, 2008. "Monetary Policy, Market Excesses and Financial Turmoil," OECD Economics Department Working Papers 597, OECD Publishing.
  22. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:18604. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.