Working paper

Choosing A Taylor Rule With Limited Data Availability: The Benchmark Approach

Year:

2022

Published in:

Visnyk of the National Bank of Ukraine
Taylor rules
monetary policy
real-time data
discretion

In this paper, we propose and test a new methodology that aims to select the best performing monetary policy rule when macroeconomic data are very limited, as is often the case for developing countries. The methodology is based on calculating economic losses during the periods when a country implicitly followed an assumed rule and when its central bank exercised discretion. For countries with short data spans where such analysis is not possible, we propose adopting the rules that historically worked well for their peers. As an intermediate step, we develop a novel approach to the calculation of the equilibrium real interest rate for developing countries that accounts for their substantial risk premia and the expected real appreciation of the domestic currency. The methodology is then applied to Czechia, Hungary, Poland, and Ukraine to construct the optimal policy rate path and contrast it with the actual one.

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8 publications found

2013
Working paper

The Identification Of The Sources Of Current Account Fluctuations In Ukraine

Publisher: University Library of Munich

Authors: Sergiy Nikolaychuk, Nadiia Shapovalenko

2019
Journal article

Дієвість Монетарного Трансмісійного Механізму В Україні Після Впровадження Інфляційного Таргетування

Publisher: Visnyk of the National Bank of Ukraine

Authors: Sergiy Nikolaychuk

2005
Working paper

Коінтеграційний Аналіз Попиту На Гроші

Publisher: Українська академія банківської справи НБУ

Authors: Sergiy Nikolaychuk

2019
Report

The Effectiveness Of The Monetary Transmission Mechanism In Ukraine Since The Transition To Inflation Targeting

Publisher: Visnyk of the National Bank of Ukraine

Authors: Sergiy Nikolaychuk, Volodymyr Lepushynskyi, Oleksandr Zholud

2014
Journal article

Визначення Факторів Динаміки Поточного Рахунку Платіжного Балансу В Україні

Publisher: Visnyk of the National Bank of Ukraine

Authors: Sergiy Nikolaychuk, Nadiia Shapovalenko

2009
Working paper

Платіжний Баланс України В Умовах Глобальної Фінансово‑Економічної Кризи

Publisher: Українська академія банківської справи НБУ

Authors: Sergiy Nikolaychuk

2010
Journal article

The Current Accounts Deficit Of The Balance Of Payments: Assessment Of The Acceptable Level For Ukraine

Publisher: Economy and Forecasting

Authors: Sergiy Nikolaychuk

2018
Working paper

A Neutral Real Interest Rate In The Case Of A Small Open Economy: Application To Ukraine

Publisher: Visnyk of the National Bank of Ukraine

Authors: Sergiy Nikolaychuk, Anton Grui, Volodymyr Lepushynskyi

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