6533b7ddfe1ef96bd1273648

RESEARCH PRODUCT

Stock market and exchange rate information in the Taylor rule : Evidence from OECD countries

Samu KärkkäinenKari HeimonenJuha-pekka Junttila

subject

Economics and Econometrics050208 financeta51105 social sciencesMonetary policyvaluuttamarkkinatmonetary policyMonetary economicsMarket makerstock marketrahapolitiikkaTaylor ruleTaylorin sääntöTaylor ruleExchange rateOrder (exchange)Stock exchange0502 economics and businessEconomicsStock market050207 economicscurrency marketForeign exchange marketFinancepörssit

description

We analyze the effects of stock market and exchange rate information in a forward-looking Taylor rule for monthly data from 14 OECD countries during the years 1999–2016. Especially the stock market information in the form of dividend but also the currency market information in the form of real exchange rate are revealed to be relevant in Taylor rule for many of the countries examined by helping to strengthen the role of inflation and real economic activity deviations in the policy rule. In many cases the rule also seems to be opportunistic, i.e., the inflation target has been time-varying. peerReviewed

yearjournalcountryeditionlanguage
2017-09-01
http://urn.fi/URN:NBN:fi:jyu-201705302569