Forecasting ECB Policy Rates with Different Monetary Policy Rules
Year: 2019 Volume: 69 Issue: 3 Pages: 238-252
Abstract: This article compares two types of monetary policy rules – the Taylor-Rule and the Orphanides-Rule – with respect to their forecasting properties for the European Central Bank. In this respect the basic rules, results from estimates models and augmented rules are compared. Using quarterly real-time data from 1999 to the beginning of 2019, we find that an estimated Orphanides-Rule performs best in nowcasts, while it is outperformed by an augmented Taylor-Rule when it comes to forecasts. However, also a no-change rule delivers good results for forecasts, which is hard to beat for most policy rules.
JEL classification: E43, E52, E58, C53
Keywords: Taylor-Rule, Orphanides-Rule, Monetary Policy Rates, Forecasting, European Central Bank
RePEc: https://ideas.repec.org/a/fau/fauart/v69y2019i3p238-252.html
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