2013
DOI: 10.1016/j.ecosys.2012.08.002
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A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through

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Cited by 20 publications
(14 citation statements)
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“…Also, for the output gap, Nikoisko-Rzhevskyy and Papell (2012) showed that the Federal Reserve responded strongly to the negative output gap. Ebru, Kivicim, and Ozan (2013) indicated that a structurally extended Kalman filter should be used for the output gap. Rajendra (2013) showed that the policy rate of Nepal has not reacted to the output gap.…”
Section: Estimated Equationsmentioning
confidence: 99%
“…Also, for the output gap, Nikoisko-Rzhevskyy and Papell (2012) showed that the Federal Reserve responded strongly to the negative output gap. Ebru, Kivicim, and Ozan (2013) indicated that a structurally extended Kalman filter should be used for the output gap. Rajendra (2013) showed that the policy rate of Nepal has not reacted to the output gap.…”
Section: Estimated Equationsmentioning
confidence: 99%
“…Yüksel et al . () provided a survey of studies that used a time‐varying specification of the Taylor rule…”
Section: Conceptual Framework and Econometric Modelmentioning
confidence: 99%
“…The second is a random-coefficient specification (see Kim and Nelson, 2006a;Boivin, 2006;FernandezVillaverde et al, 2010). Yksel et al (2013) offers a survey of the literature on estimation of Taylor rules with time-varying coefficients. An advantage of the Markov-switching specification is that it implies bounded coefficients, which could be important in terms of determinacy and relevance of the equilibrium.…”
Section: Policy Rulesmentioning
confidence: 99%