Taylor rules revisited: ECB and Bundesbank in comparison

摘要

This paper analyses the interest rate-setting behaviour of the ECB and the former leading monetary authority in the Eurozone, the German Bundesbank, using Taylor rules in different GMM-estimation setups. The main findings are as follows: the Bundesbank was clearly stability oriented with regard to inflation and included output stabilization, interest rate smoothing and inflation forecasts in its decision-making process during the period under investigation, that is 1979M01-1998M12. Furthermore, evidence of the inclusion of the quantity of money in the decisions has been found at least for the 1980s. The estimation results for the ECB from 1999M01 onwards reveal a monetary policy that is less stability oriented than that of the Bundesbank in that it clearly violates the Taylor principle. According to this, the ECB cannot be seen as the successor of the Bundesbank as regards the way it has conducted monetary policy.