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The Taylor rule and house price uncertainty


Reference:

Morley, B. and Wei, Q., 2012. The Taylor rule and house price uncertainty. Applied Economics Letters, 19 (15), pp. 1449-1453.

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    Official URL:

    http://dx.doi.org/10.1080/13504851.2011.633882

    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.

    Details

    Item Type Articles
    CreatorsMorley, B.and Wei, Q.
    DOI10.1080/13504851.2011.633882
    DepartmentsFaculty of Humanities & Social Sciences > Economics
    Publisher StatementMorley_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; Morley_App-Econ-Lett_2012_19_15_1449.doc: 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
    RefereedYes
    StatusPublished
    ID Code29317

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