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Monetary Policy Rules

Empirical Applications Based on Survey Data

Series:

Dirk Bleich

This work provides different studies of how econometric evaluation of monetary policy based on forward-looking Taylor rules is conducted. The first part discusses theoretical results regarding the Taylor principle and can be used as a guideline for the evaluation of the following three empirical applications based on survey data of Consensus Economics. The first application deals with the question whether the introduction of inflation targeting affects monetary policy. The second application investigates the consequences of oil price movements for monetary policy. The third application analyzes monetary policy conditions in Spain before and after the changeover to the Euro by estimating forward-looking Taylor rules.

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3.1 Overview of the inflation targeting countries (1990 - 2007) . . 49 3.2 Panel Taylor-type rule . . . . . . . . . . . . . . . . . . . . . . 55 3.3 Individual Taylor-type rules . . . . . . . . . . . . . . . . . . . 58 3.4 Expected inflation targets (Eπ∗) and actual inflation rates . . 61 3.5 Results with the time-varying inflation target . . . . . . . . . 64 4.1 Oil augmented Taylor-type rules . . . . . . . . . . . . . . . . . 74 5.1 House purchase loans (1997 - 2007) . . . . . . . . . . . . . . . 78 5.2 Taylor-type rules based on the GMM estimator . . . . . . . . 86 5.3 Estimates for housing equation . . . . . . . . . . . . . . . . . 95 D.1 Relative weight (γ) of oil in the consumer basket . . . . . . . . 111

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