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Monetary Policy Rules

Empirical Applications Based on Survey Data


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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Appendix C Weighted average of expected GDP and CPI


In order to generate a forecast ft with a twelve-month forecast horizon, we calculated a weighted arithmetic average of the forecast for the current year f curt and the next year fnextt . We weight the forecast ft with the remaining number of months m (with 1 (= December) ≤ m ≤ 12 (= January)) at the time of the forecast t (Rülke (2009)). The twelve-month GDP and CPI forecasts ft are as follows: (C.1) ft = f curt ·m+ (12−m) · fnextt 12 This procedure is also applied by Gorter et al. (2008), Heppke-Falk and Hüffner (2004) and Beck (2001). All studies deal with data of the Consensus Economic Forecast poll and construct the arithmetic average as outlined above.

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