Meta T aylor Rules for the UK and A ustralia; Accommodating Regime Uncertainty in Monetary Policy Analysis Using Model Averaging Methods

Abstract

This paper provides a characterization ofUKandAustralian monetary policy within aTaylor rule framework, accommodating uncertainties about the nature and duration of policy regimes in a flexible but easy‐to‐implement analysis. Our approach involves estimation and inference based on a set ofTaylor rules obtained through linear regression methods, but combined into a ‘meta’ rule using model averaging techniques. Using data that were available in real time, the estimated version of the metaTaylor rule provides a useful and detailed characterization of monetary policies in theUKandAustralia over the last 30 years.

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