Nonlinear interest rate reaction functions for the UK
نویسندگان
چکیده
منابع مشابه
Nonlinear Interest Rate Reaction Functions for the UK∗
We empirically analyze Taylor-type equations for short-term interest rates in the United Kingdom using quarterly data from 1970Q1 to 2006Q2. Starting from strong evidence against a simple linear Taylor rule, we model nonlinearities using logistic smooth transition regression (LSTR) models. The LSTR models with time varying parameters consistently track actual interest rate movements better than...
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ژورنال
عنوان ژورنال: Economic Modelling
سال: 2011
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2010.12.005