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dc.contributor.authorYüksel, E.en_US
dc.contributor.authorMetin-Ozcan, K.en_US
dc.contributor.authorHatipoglu, O.en_US
dc.date.accessioned2016-02-08T09:40:16Z
dc.date.available2016-02-08T09:40:16Z
dc.date.issued2013en_US
dc.identifier.issn0939-3625
dc.identifier.urihttp://hdl.handle.net/11693/21050
dc.description.abstractToday, the prime aim of central banking is to achieve price stability and, to a lesser extent, output stability. To this end, central banks use various monetary policy rules. This paper intends to provide a broad survey of the literature on Taylor-type monetary policy rules with a time-varying parameter (TVP) specification. To include the TVP feature, some modification is made in the monetary transmission mechanism of Taylor-type monetary policy models to account for the changing risk preference of individuals. In line with this approach, we introduce an interest rate pass-through specification of the monetary transmission process in a general equilibrium model to account for the varying perceptions of risk by individuals. We include an application for Turkey and estimate the time-variable parameters of the model by employing a structural extended Kalman filter (EKF). The results indicate that the EKF performs better than the standard Kalman filter in estimating the reaction function of the central bank.en_US
dc.language.isoEnglishen_US
dc.source.titleEconomic Systemsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.ecosys.2012.08.002en_US
dc.subjectExtended Kalman filter (EKF)en_US
dc.subjectInterest rate pass-throughen_US
dc.subjectMonetary policyen_US
dc.subjectTaylor ruleen_US
dc.subjectTime-varying parameter (TVP)en_US
dc.titleA survey on time-varying parameter taylor rule: a model modified with interest rate pass-throughen_US
dc.typeArticleen_US
dc.departmentDepartment of Economics
dc.citation.spage122en_US
dc.citation.epage134en_US
dc.citation.volumeNumber37en_US
dc.citation.issueNumber1en_US
dc.identifier.doi10.1016/j.ecosys.2012.08.002en_US
dc.identifier.eissn1878-5433


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