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Darius Kulikauskas
''Nonlinear Taylor rule for the European Central Bank''
( 2014, Vol. 34 No.3 )
In this paper I add to the evidence on possible nonlinearities in the conduct of ECB monetary policy. For this purpose a nonlinear Taylor rule (threshold regression) was estimated and compared to a linear benchmark model. The estimation was carried out with output gap data computed from quarterly GDP time series. The results show that a nonlinear Taylor rule fits the data better than a linear one.
Keywords: Taylor rule, monetary policy, threshold, European Central Bank, ECB, nonlinear
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Manuscript Received : Aug 20 2014 Manuscript Accepted : Aug 20 2014

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