Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data
提出一种在缺乏前瞻性实时央行数据时，仍能实时估计向前看泰勒规则的方法，通过复制美国绿皮书预测并应用于加拿大、德国和英国，发现各国利率对通胀和产出缺口的反应特征。
I propose a methodology for estimating forward-looking Taylor rules in real time when forward-looking real-time central bank data are unavailable. The methodology consists of choosing appropriate models to closely replicate U.S. Greenbook forecasts and then applying these models to Canada, Germany, and the U.K. The results show that German and U.S. Taylor rules are characterized by inflation coefficients increasing with the forecast horizon and a positive output gap response. The U.K. and Canada interest rate reaction functions achieve maximum inflation response at middle-term horizons of about 1/2 years and the output gap coefficient is insignificant.