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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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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
Date of revision:
Handle: RePEc:pra:mprapa:18604
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  1. Sack, Brian & Wieland, Volker, 2000. "Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence," Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 205-228.
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  9. Gerlach, Stefan & Schnabel, Gert, 2000. "The Taylor rule and interest rates in the EMU area," Economics Letters, Elsevier, vol. 67(2), pages 165-171, May.
  10. 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.
  11. James H. Stock & Mark W. Watson, 2002. "Has the Business Cycle Changed and Why?," NBER Working Papers 9127, National Bureau of Economic Research, Inc.
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  15. 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).
  16. John B. Taylor, 1998. "An Historical Analysis of Monetary Policy Rules," NBER Working Papers 6768, National Bureau of Economic Research, Inc.
  17. 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.
  18. 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.
  19. 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.
  20. 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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