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Taylorregeln och negativa styrräntor: En empirisk analys av Taylorregelns relevans i Danmark, Schweiz och Sverige åren 2000-2018
Södertörn University, School of Social Sciences, Economics.
Södertörn University, School of Social Sciences, Economics.
2018 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Inflationen har i många länder varit låg sedan finanskrisen 2008. I försök öka inflationstakten har centralbanker sänkt sina räntor till rekordlåga nivåer. I Danmark, Schweiz och Sverige har styrräntorna varit negativa. John B Taylor föreslog 1993 en makroekonomisk regel med syfte att kunna ge en prognos för styrräntan. Enligt Taylorregeln kan styrräntan förklaras av tidigare perioders inflationstakt och bruttonationalprodukt. Denna uppsats syftar till att undersöka Taylorregelns empiriska relevans i Danmark, Schweiz och Sverige under perioden 2000 till 2018. Två tester genomförs. Det första är att, med en linjär regressionsmodell, undersöka sambandet mellan styrränta, inflationsgap och BNP-gap. Det andra är ett Granger-kausalitetstest för att se om den implicerade kausaliteten i Taylorregeln stämmer. Granger-testet bygger på resultaten från en vektor autoregression. Resultaten i denna uppsats visar att det finns ett samband mellan inflationstakt och styrränta, men inte mellan BNP-gap och styrränta i de valda länderna under undersökningsperioden. Vidare visar resultaten att kausaliteten går från inflationsgap och BNP-gap mot styrränta, som Taylorregeln föreslår. Resultatet lyckas inte påvisa att negativa styrräntor skulle påverka Taylorregelns relevans.

Abstract [en]

The rate of inflation has been low in many countries since the financial crisis in 2008. In attempts to increase the inflation rate, central banks have lowered their interest rates to historically low levels. In Denmark, Switzerland and Sweden, the central banks key interest rates have been negative. In 1993, John B Taylor proposed a macroeconomic rule with the aim of providing a forecast for the key interest rate. According to the Taylor rule, the policy rate can be explained by the inflation rate and gross domestic product of previous periods.

This paper aims to investigate the empirical relevance of the Taylor rule in Denmark, Switzerland and Sweden during the period 2000 to 2018. To do this, two tests are performed. The first is that, with a linear regression model, investigate the relationship between the key interest rate, the inflation gap and the GDP gap. The second is a Granger causality test to see if the implicit causality of the Taylor rule is correct. The Granger test is based on the results of a vector autoregression. The results of this paper show that there is a correlation between the rate of inflation and the key interest rate, but not between the GDP gap and the key interest rate in the selected countries during the investigation period. Furthermore, the results show that causality goes from the inflation gap and the GDP gap towards the key interest rate, as the Taylor rule suggests. The result does not suggest that negative key interest rates would affect the relevance of the Taylor rule.

Place, publisher, year, edition, pages
2018. , p. 55
Keywords [en]
Taylor rule, key interest rate, rate of inflation, GDP gap, OLS, VAR, Denmark, Switzerland, Sweden
Keywords [sv]
Taylorregeln, styrränta, inflation, BNP-gap, OLS, VAR, Denmark, Schweiz, Sverige
National Category
Economics
Identifiers
URN: urn:nbn:se:sh:diva-37613OAI: oai:DiVA.org:sh-37613DiVA, id: diva2:1286781
Subject / course
Economics
Presentation
2019-01-17, Södertörn Högskola, Stockholm, 16:33 (Swedish)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2019-02-08 Created: 2019-02-07 Last updated: 2019-02-08Bibliographically approved

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Citation style
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