ABSTRACT

We use the Taylor curve to gauge deviations of monetary policy from an efficiency locus for the United Kingdom (UK) and the four largest economies of the Eurozone (Germany, France, Italy, Spain) for the period 2000–2018. For this purpose, we use shadow interest rates, which is a common metric for both conventional and unconventional monetary policies, and the newly proposed Hamilton-filter to measure output gap, which improves upon the drawbacks of the traditionally used Hodrick–Prescott filter. Our findings suggest that deviations in the UK mostly occurred amid the global financial crisis and the post-Brexit period, whereas Eurozone members experienced more volatile deviations around 2001, during the global financial crisis and the Eurozone sovereign debt crisis.

摘要

我们使用泰勒曲线来衡量 2000 年至 2018 年期间英国（UK）和欧元区四大经济体（德国、法国、意大利、西班牙）的货币政策与效率轨迹的偏差。为此，我们使用影子利率，这是常规和非常规货币政策的通用指标，以及新提出的 Hamilton 过滤器来衡量产出缺口，它改进了传统使用的 Hodrick-Prescott 过滤器的缺点。我们的研究结果表明，英国的偏差主要发生在全球金融危机和英国脱欧后时期，而欧元区成员国在 2001 年左右、全球金融危机和欧元区主权债务危机期间经历了更多波动的偏差。