Taylor rule and structural change.

dc.contributor.advisor	Merette, Marcel,
dc.contributor.author	Demers, Frédérick.
dc.date.accessioned	2009-03-23T18:30:56Z
dc.date.available	2009-03-23T18:30:56Z
dc.date.created	2001
dc.date.issued	2001
dc.degree.level	Masters
dc.degree.name	M.A.
dc.description.abstract	We evaluate the Taylor rule and investigate its stability for the period 1963Q2 to 1999Q4. Using a benchmark model, we demonstrate that the equation cannot be evaluated over this period without taking into account parameter instability and structural changes, which reflect changing monetary policy preferences. Neglecting to allow for at least one shift in the equation can lead to artificial results by ignoring the heterogeneity of the long-run relationship, while it is not capturing the changes in monetary policy preferences. To estimate the equation over the 1963 Q2--1999Q4 period, we follow Bai and Perron's (1998) recent methodology, with which we find evidence for up to five breaks.
dc.format.extent	131 p.
dc.identifier.citation	Source: Masters Abstracts International, Volume: 40-06, page: 1397.
dc.identifier.isbn	9780612678033
dc.identifier.uri	http://hdl.handle.net/10393/9441
dc.identifier.uri	http://dx.doi.org/10.20381/ruor-7808
dc.publisher	University of Ottawa (Canada)
dc.subject.classification	Economics, General.
dc.title	Taylor rule and structural change.
dc.type	Thesis

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