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Monetary policy rules in emerging countries: is there an augmented nonlinear Taylor rule?
Version 2 2023-06-12, 08:49
Version 1 2023-06-09, 12:09
journal contribution
posted on 2023-06-12, 08:49 authored by Guglielmo Maria Caporale, Mohamad Husam Helmi, Abdurrahman Nazif Catik, Faek Menla AliFaek Menla Ali, Coskun AkdenizThis paper examines the Taylor rule in five emerging economies, namely Indonesia, Israel, South Korea, Thailand, and Turkey. In particular, it investigates whether monetary policy in these countries can be more accurately described by (i) an augmented rule including the exchange rate, as well as (ii) a nonlinear threshold specification (estimated using GMM), instead of a baseline linear rule. The results suggest that the reaction of monetary authorities to deviations from target of either the inflation or the output gap differs in terms of the size and/or statistical significance of the coefficients in the high and low inflation regimes in all countries. In particular, the exchange rate has an impact in the former but not in the latter regime. Overall, an augmented nonlinear Taylor rule appears to capture more accurately the behaviour of monetary authorities in these countries.
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- Published
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Economic ModellingISSN
0264-9993Publisher
ElsevierPublisher URL
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72Department affiliated with
- Accounting and Finance Publications
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- Yes
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- Yes
Legacy Posted Date
2018-02-14First Open Access (FOA) Date
2018-05-21First Compliant Deposit (FCD) Date
2018-02-14Usage metrics
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