The Taylor rule and house price uncertainty

Bruce Morley; Qijia Wei

doi:10.1080/13504851.2011.633882

The Taylor rule and house price uncertainty

Bruce Morley, Qijia Wei

Department of Economics

Research output: Contribution to journal › Article › peer-review

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Abstract

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.

Original language	English
Pages (from-to)	1449-1453
Number of pages	5
Journal	Applied Economics Letters
Volume	19
Issue number	15
DOIs	https://doi.org/10.1080/13504851.2011.633882
Publication status	Published - 2012

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10.1080/13504851.2011.633882

Morley_App-Econ-Lett_2012_19_15_1449.pdf
This is an electronic version of an article published in Morley, B. and Wei, Q., 2012. The Taylor rule and house price uncertainty. Applied Economics Letters, 19 (15), pp. 1449-1453. Applied Economics Letters is available online at http://dx.doi.org/10.1080/13504851.2011.633882
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Cite this

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The Taylor rule and house price uncertainty

Abstract

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