Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 19 of 19 for “"Taylor rule"”.
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Can Taylor rule fundamentals predict exchange rates?
… pricing model of exchange rates incorporating Taylor rules. Against this back- ground, this thesis focuses on the relationship between the exchange rate and Taylor rule fundamentals. The introductory chapter provides a short summary of the most relevant literature, and explains the connections …
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Opportunist to risk manager: reverse engineering the Taylor rule
Taylor (1993) advocated that the short term policy rate should respond linearly to the inflation rate and to the output gap. The Taylor Rule also seemed to track the federal funds rate over the formative years of the Greenspan regime, then considered to have experienced a number of early successes. …
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Predictability of the Dollar- Rand exchange rate using Taylor Rule fundamentals and commodity Prices.
… three forecasting models, namely, the augmented Taylor rule specification, a Johansen Vector Error Correction Model (VECM) and a Random walk approach. The results from the Root Mean Squared Error (RMSE) show that the Random walk model outperforms both the Taylor rule and VECM models. This brings …
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Essays on Carry Trade and Exchange Rate Forecasting
… of carry trade strategies with implied Taylor rule interest rate di erentials and compares their performance statistics to the naive carry trade strategy with actual interest rates. I argue that the crash risk is reduced with implied Taylor rule interest rate di erentials as a trading …
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Two Essays on Monetary Policy and Exchange Rates in Thailand
… Thailand's interest rate determination using the Taylor rule, which posits that the optimal interest rate is a function of inflation and the output gap. Because Thailand is a small open economy highly exposed to international trade and capital flows, I also include international factors (the …
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Essays in Monetary and Macroprudential Policies
… of the policy strategies considered the standard Taylor rule combined with the LTV requirement that reacts countercyclically to the deviation of house prices from the steady state yields higher welfare as compared with all the other strategies considered. Additionally, the standard Taylor rule …
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Essays on Monetary Policy Rules and Inflation Dynamics
… <p>In the first essay I develop abroad nonlinear Taylor rule framework, in conjunction with real time data, to examine the Fed’s policy response during the Great Moderation. My flexible framework is also able to convincingly show that the Fed departed from the Taylor rule during key periods in the …
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Three essays on the predictive content and predictability of the nominal exchange rates in a changing world
… the exchange rates in an attempt to forecast the Taylor rule fundamentals, such as the output gap, the inflation rate and the real exchange rate of the U.S. and the U.K. We employ time-varying econometric techniques, taking into account possible non-linearities and time-variations of the Taylor …
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Inflation dynamics and monetary policy in Indonesia
… principles is the adoption of a monetary policy rule. In this study, we attempt to investigate the conduct of monetary policy under an inflation targeting framework and explore the role of public inflation expectations in the monetary policy rule. We develop an expectations-augmented Taylor rule …
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The External Influences on Korea's Monetary Policy
… base. The purpose in estimating the basic Taylor rules was to go beyond unconditional estimates of pass through from US to Korean interest rates and to attempt to control for domestic influences on Korean interest rates. This gave us better estimates of the actual influences of the US …
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An analysis of the effectiveness of inflation targeting monetary policy framework in South Africa
… response of inflation is not consistent with the Taylor rule hence increases in the repo rate meant to reduce inflation actually increase the inflationary pressures in the economy. This is due to the composition of the Consumer Price Index. Housing constitutes the largest weight on the CPI hence …
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Fiscal and Monetary Policies and Stock Market
… authority follows inflation forecast targeting rule to destabilize asset markets in the New Keynesian model. They show that money authority responds to future productivity news shock in the wrong way by using inflation forecasting targeting rule. In the first part of this study, I identify the …
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Essays on Monetary Policy in Israel
… evaluates its past policy decisions using a Taylor-type policy rule. A policy rule can be thought of as an ultimate forward guidance instrument, because it provides both an explicit policy objective and a clear strategy for achieving that objective. In the first chapter of my dissertation …
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Essays in international finance
… strategy, and find three key results: (1) the Taylor rule model consistently outperforms, economically and statistically, all the other models at the 1-month horizon. (2) The technical rule has superior predictive power over the random walk benchmark, across horizons, particularly for developed …
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Essays on macroeconometrics and fiscal policy
… when monetary policy is passive. I estimate a Taylor rule with time-varying coefficients and use the estimated sequence of inflation parameters to inform the monetary policy regimes in a smooth-transition vector autoregression (ST-VAR) model. I then employ generalized impulse response functions …
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Essays in macroeconomics and housing
… iii) When interest rates are set according to a Taylor rule, the systematic mismeasurement of inflation gives rise to a feedback loop by which the monetary authority keeps setting interest rates too high (low) because inflation is apparently too high (low). To rationalize i) and quantify the …
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Essays on New Keynesian Term Premium Model with Financial Risks
… Financial Risk Index (FRI) in the IS curve and Taylor rule of an NK model with consumption habit formation. Using the Affine Term Structure (ATS) finance theory, it fits the model to macroeconomic and yield data to obtain time-varying term premia. The chapter also replaces the FRI with the UST …
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Essays on the financial sector and macroeconomic policy
… policy shocks and prevalent. A monetary policy Taylor rule that reacts to movements in leverage in the banking system or to movements in credit spreads, incentivizes banks to increase their use of short-term debt funding and increase leverage, ceteris paribus, increasing the risk exposure of the …
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Prospective Reappointment and the Monetary Policy Preferences of the Federal Open Market Committee Members
The main purpose of the research is to investigate the behavioral of the Governors and Bank Presidents at the meetings of the Federal Open Market Committee (FOMC). We have a hypothesis that the Bank presidents and Governors behave differently. We suppose that the governors of the FOMC which are …