An empirical study of interest rate determination rules

Bhattarai, Keshab

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
• Electronic ISSN: 1466-4305
• 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