TY - JOUR
T1 - The Taylor rule and house price uncertainty
AU - Morley, Bruce
AU - Wei, Qijia
PY - 2012
Y1 - 2012
N2 - The aim of this article is to determine whether house price uncertainty has been an important determinant of the Taylor rule-based interest rate during the years leading up to the financial crisis. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-based specification has been used to produce a time-varying measure of volatility, and the results indicate that it has had a significant negative effect on the interest rate, but that its addition only produces a slightly better fit to the actual interest rate.
AB - The aim of this article is to determine whether house price uncertainty has been an important determinant of the Taylor rule-based interest rate during the years leading up to the financial crisis. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-based specification has been used to produce a time-varying measure of volatility, and the results indicate that it has had a significant negative effect on the interest rate, but that its addition only produces a slightly better fit to the actual interest rate.
UR - http://www.scopus.com/inward/record.url?scp=84858376900&partnerID=8YFLogxK
UR - http://dx.doi.org/10.1080/13504851.2011.633882
U2 - 10.1080/13504851.2011.633882
DO - 10.1080/13504851.2011.633882
M3 - Article
SN - 1350-4851
VL - 19
SP - 1449
EP - 1453
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 15
ER -