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Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland
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Published/Copyright:
November 30, 2019
Abstract
This article estimates the policy reaction function of the Swiss National Bank (SNB) using real-time internal inflation forecasts and output gap estimates from 2000 to 2012. We analyze potential nonlinearities of policy rate responses to economic fundamentals using a novel semiparametric approach. We find a linear response of the SNB’s policy rate to inflation forecasts but a strong nonlinear response of the policy rate to the output gap and exchange rate changes. This finding suggests that the SNB reacts to extreme movements of these variables if they become a concern for price stability and economic activity.
Published Online: 2019-11-30
Published in Print: 2016-12-01
© 2019 by Walter de Gruyter Berlin/Boston
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Articles in the same Issue
- Contagion of Self-Interested Behavior: Evidence from Group Dictator Game Experiments
- The Impact of the German Child Benefit on Household Expenditures and Consumption
- Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland
- Mispricing of Risk in Sovereign Bond Markets with Asymmetric Information
- Acknowledgements
- Index: Volume 17, 2016
Articles in the same Issue
- Contagion of Self-Interested Behavior: Evidence from Group Dictator Game Experiments
- The Impact of the German Child Benefit on Household Expenditures and Consumption
- Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland
- Mispricing of Risk in Sovereign Bond Markets with Asymmetric Information
- Acknowledgements
- Index: Volume 17, 2016
