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Comparing Monetary Policy Rules in a Small Open Economy Framework: An Empirical Analysis Using Bayesian Techniques

Eschenhof, Sabine :
Comparing Monetary Policy Rules in a Small Open Economy Framework: An Empirical Analysis Using Bayesian Techniques.
[Online-Edition: http://tuprints.ulb.tu-darmstadt.de/4729]
In: Darmstadt Discussion Papers in Economics , 197 . Darmstadt
[Report] , (2009)

Official URL: http://tuprints.ulb.tu-darmstadt.de/4729

Abstract

This paper examines the role of exchange rate changes in the monetary policy for the Euro Area. Moreover, it compares different Taylor-type policy rules with respect to the numerical results as well as the impulse responses to exogenous shocks and the fit of the different data model specifications when using the underlying data. Overall, a monetary policy rule which includes the expected inflation rate as well as the output gap performs best and supports a possible role of exchange rate changes in the Euro Area's monetary policy.

Item Type: Report
Erschienen: 2009
Creators: Eschenhof, Sabine
Title: Comparing Monetary Policy Rules in a Small Open Economy Framework: An Empirical Analysis Using Bayesian Techniques
Language: English
Abstract:

This paper examines the role of exchange rate changes in the monetary policy for the Euro Area. Moreover, it compares different Taylor-type policy rules with respect to the numerical results as well as the impulse responses to exogenous shocks and the fit of the different data model specifications when using the underlying data. Overall, a monetary policy rule which includes the expected inflation rate as well as the output gap performs best and supports a possible role of exchange rate changes in the Euro Area's monetary policy.

Series Name: Darmstadt Discussion Papers in Economics
Volume: 197
Place of Publication: Darmstadt
Uncontrolled Keywords: Bayesian Estimation, Small Open Economy, Monetary Policy, Taylor Rule
Divisions: 01 Law and Economics
01 Law and Economics > Volkswirtschaftliche Fachgebiete
01 Law and Economics > Volkswirtschaftliche Fachgebiete > Economic Theory
Date Deposited: 31 Jan 2016 20:58
Official URL: http://tuprints.ulb.tu-darmstadt.de/4729
URN: urn:nbn:de:tuda-tuprints-47290
Additional Information:

JEL - Classification: C11, E52, F41

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