The Taylor Rule : A Spurious Regression ? ♣

@inproceedings{sterholm2003TheTR,
  title={The Taylor Rule : A Spurious Regression ? ♣},
  author={P{\"a}r {\"O}sterholm},
  year={2003}
}
  • Pär Österholm
  • Published 2003
This paper investigates the econometric properties of the Taylor (1993) rule applied to U.S., Australian and Swedish data to judge its empirical relevance. Little attention has been paid to the time series properties of the data underlying interest rate rules, nor the estimations themselves, despite the rise in popularity of Taylor-like rules in both empirical and theoretical work. Unit root tests indicate that the variables commonly used in such modelling are likely to be integrated of order… CONTINUE READING