Adherence to the Taylor rule: monetary policy in a sample of 11 countries

• Ano de defesa: 2023
• Autor(a) principal: Tenani, Débora Teixeira
• Orientador(a): Muinhos, Marcelo Kfoury
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Taxa de juros; Regra de Taylor; Política Monetária; Bancos Centrais; Inflação
• Palavras-chave em Inglês: Taylor Rule; Monetary policy; Policy rate; Kalman filter; Hodrick Prescott; Natural rate of interest rate; Potential output; Non-accelerating inflation rate of unemployment
• Link de acesso: https://hdl.handle.net/10438/33264

This dissertation examines policy rate adherence to the Taylor Rule in a sample of 11 countries over the period 2000-2022Q2. Three variations of the Taylor rule (inflation gap, inflation and output gaps, inflation, and unemployment gaps) and three statistical procedures (sample mean, Kalman Filter and the Hodrick Prescott Filter) are used to rank Monetary Performance and Central Bank Presidents. The conclusion is that, over the sample period, the Brazilian Central Bank was the most adherent to the Taylor Rule whereas the Japanese Central Bank was the least. The United States Federal Reserve Bank ranked seventh, in a tight with the Peruvian Central Bank. In fact, Latin American Central Banks tended to be more adherent to the Taylor Rule than did Developed Countries Central Banks. In addition, among the different Brazilian Central Bank Presidents, Arminio Fraga was the most adherent to the Taylor Rule and Alexandre Tombini the least, whereas among the Fed Chairmen, Ben Bernanke was the most adherent and Janet Yellen the least.