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An empirical study of interest rate determination rules

Bhattarai, Keshab

Authors



Abstract

This paper finds empirical support for a Taylor (1993) type interest rate determination rule. The model is solved analytically, estimated and used for simulation, impulse response analyses and forecasting with quarterly time series data for the UK and annual time series data for Germany, France, Japan, the UK and the US. The results confirm that such rules implicitly exists during the period of analysis.

Citation

Bhattarai, K. (2008). An empirical study of interest rate determination rules. Applied financial economics, 18(4), 327-343. https://doi.org/10.1080/09603100500447560

Journal Article Type Article
Online Publication Date Mar 20, 2008
Publication Date Mar 1, 2008
Deposit Date Feb 16, 2021
Journal Applied Financial Economics
Print ISSN 0960-3107
Publisher Routledge
Peer Reviewed Peer Reviewed
Volume 18
Issue 4
Pages 327-343
DOI https://doi.org/10.1080/09603100500447560
Public URL https://hull-repository.worktribe.com/output/3564545