Adherence to the Taylor rule: monetary policy in a sample of 11 countries
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2023-01-23
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Muinhos, Marcelo Kfoury
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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.