Augmenting the Taylor rule: Monetary policy and the bond market

被引：6

作者：

Roskelley, Kenneth D. ^{[1
]}

机构：

[1] Mississippi State Univ, Dept Finance & Econ, Mississippi State, MS 39762 USA

来源：

ECONOMICS LETTERS | 2016年 / 144卷

关键词：

Taylor rule; Monetary policy; Yield curve; Principal components;

D O I：

10.1016/j.econlet.2016.05.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

I show that augmenting the Taylor rule with bond yields observed at the start of the quarter significantly improves the in-sample and out-of-sample fit. Moreover, the augmented rule produces lower forecast errors than those of linear and non-linear policy models. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：64 / 67

页数：4

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