Table 2 Constant parameter GMM results...

Table 2

Constant parameter GMM results for the full sample

		$\bar{r}$	$φ_{π}$	$φ_{y}$	$φ_{q}$	Sargan test
United Kingdom	Standard	1.7817***	1.3449***	0.3187**	–	0.2586
	Standard	(0.1458)	(0.2647)	(0.1471)	–	0.2586
	Augmented	0.9997***	1.1259***	0.3089**	0.0160***	0.4289
	Augmented	(0.0176)	(0.2858)	(0.1290)	(0.0011)	0.4289
Canada	Standard	1.7536***	1.6404***	0.8117***	–	0.3287
	Standard	(0.1705)	(0.2786)	(0.1955)	–	0.3287
	Augmented	5.1436***	1.6239***	0.3265**	−0.0310	0.7383
	Augmented	(1.1107)	(0.2271)	(0.1621)	(0.0100)	0.7383
Australia	Standard	1.1849***	0.4671***	0.5258***	–	0.2053
	Standard	(0.2116)	(0.0916)	(0.1879)	–	0.2053
	Augmented	1.6268***	0.5487***	0.7800***	0.5349**	0.7975
	Augmented	(0.1150)	(0.1151)	(0.2571)	(0.1901)	0.7975
New Zealand	Standard	3.7458***	0.7886***	0.8215***	–	0.1376
	Standard	(0.0797)	(0.0540)	(0.2890)	–	0.1376
	Augmented	1.4981***	0.6428***	0.4049***	−0.0411***	0.4302
	Augmented	(0.0799)	(0.1156)	(0.1406)	(0.0087)	0.4302
Sweden	Standard	0.7525***	1.4415***	0.5082**	–	0.1915
	Standard	(0.1766)	(0.3284)	(0.2123)	–	0.1915
	Augmented	−0.8318***	1.1942***	0.2945**	0.1441***	0.6648
	Augmented	(0.0231)	(0.3811)	(0.1476)	(0.0159)	0.6648
United States	Standard	1.3516***	2.2289***	0.5012	–	0.6254
	Standard	(0.1988)	(0.4419)	(0.3146)	–	0.6254
	Augmented	1.2051***	1.6267***	0.7833**	−0.2621	0.3776
	Augmented	(0.1821)	(0.3626)	(0.3412)	(0.6842)	0.3776
Japan	Standard	0.4518**	1.6097***	1.1090***	–	0.1039
	Standard	(0.2183)	(0.1336)	(0.1685)	–	0.1039
	Augmented	0.4911**	1.5800***	1.0321***	0.0914	0.2314
	Augmented	(0.2173)	(0.1547)	(0.1914)	(0.1656)	0.2314
Denmark	Standard	0.7385***	0.9078***	0.0561	–	0.1074
	Standard	(0.0858)	(0.0787)	(0.1368)	–	0.1074
	Augmented	0.7121***	0.9028***	0.0675	0.5901	0.2607
	Augmented	(0.0876)	(0.0979)	(0.1366)	(0.4862)	0.2607
Euro-Area	Standard	0.8326**	1.2938***	0.2584	–	0.2239
	Standard	(0.3573)	(0.1946)	(0.1995)	–	0.2239
	Augmented	−2.0375	1.0908***	0.5412***	0.0142	0.3793
	Augmented	(2.4212)	(0.2351)	(0.1664)	(0.0216)	0.3793
Switzerland	Standard	2.2613***	1.4127***	0.4490**	–	0.2548
	Standard	(0.3257)	(0.0772)	(0.2271)	–	0.2548
	Augmented	5.8376***	1.2209***	0.3293**	0.0408**	0.3418
	Augmented	(1.6809)	(0.0965)	(0.1376)	(0.0200)	0.3418

		$\bar{r}$	$φ_{π}$	$φ_{y}$	$φ_{q}$	Sargan test
United Kingdom	Standard	1.7817***	1.3449***	0.3187**	–	0.2586
	Standard	(0.1458)	(0.2647)	(0.1471)	–	0.2586
	Augmented	0.9997***	1.1259***	0.3089**	0.0160***	0.4289
	Augmented	(0.0176)	(0.2858)	(0.1290)	(0.0011)	0.4289
Canada	Standard	1.7536***	1.6404***	0.8117***	–	0.3287
	Standard	(0.1705)	(0.2786)	(0.1955)	–	0.3287
	Augmented	5.1436***	1.6239***	0.3265**	−0.0310	0.7383
	Augmented	(1.1107)	(0.2271)	(0.1621)	(0.0100)	0.7383
Australia	Standard	1.1849***	0.4671***	0.5258***	–	0.2053
	Standard	(0.2116)	(0.0916)	(0.1879)	–	0.2053
	Augmented	1.6268***	0.5487***	0.7800***	0.5349**	0.7975
	Augmented	(0.1150)	(0.1151)	(0.2571)	(0.1901)	0.7975
New Zealand	Standard	3.7458***	0.7886***	0.8215***	–	0.1376
	Standard	(0.0797)	(0.0540)	(0.2890)	–	0.1376
	Augmented	1.4981***	0.6428***	0.4049***	−0.0411***	0.4302
	Augmented	(0.0799)	(0.1156)	(0.1406)	(0.0087)	0.4302
Sweden	Standard	0.7525***	1.4415***	0.5082**	–	0.1915
	Standard	(0.1766)	(0.3284)	(0.2123)	–	0.1915
	Augmented	−0.8318***	1.1942***	0.2945**	0.1441***	0.6648
	Augmented	(0.0231)	(0.3811)	(0.1476)	(0.0159)	0.6648
United States	Standard	1.3516***	2.2289***	0.5012	–	0.6254
	Standard	(0.1988)	(0.4419)	(0.3146)	–	0.6254
	Augmented	1.2051***	1.6267***	0.7833**	−0.2621	0.3776
	Augmented	(0.1821)	(0.3626)	(0.3412)	(0.6842)	0.3776
Japan	Standard	0.4518**	1.6097***	1.1090***	–	0.1039
	Standard	(0.2183)	(0.1336)	(0.1685)	–	0.1039
	Augmented	0.4911**	1.5800***	1.0321***	0.0914	0.2314
	Augmented	(0.2173)	(0.1547)	(0.1914)	(0.1656)	0.2314
Denmark	Standard	0.7385***	0.9078***	0.0561	–	0.1074
	Standard	(0.0858)	(0.0787)	(0.1368)	–	0.1074
	Augmented	0.7121***	0.9028***	0.0675	0.5901	0.2607
	Augmented	(0.0876)	(0.0979)	(0.1366)	(0.4862)	0.2607
Euro-Area	Standard	0.8326**	1.2938***	0.2584	–	0.2239
	Standard	(0.3573)	(0.1946)	(0.1995)	–	0.2239
	Augmented	−2.0375	1.0908***	0.5412***	0.0142	0.3793
	Augmented	(2.4212)	(0.2351)	(0.1664)	(0.0216)	0.3793
Switzerland	Standard	2.2613***	1.4127***	0.4490**	–	0.2548
	Standard	(0.3257)	(0.0772)	(0.2271)	–	0.2548
	Augmented	5.8376***	1.2209***	0.3293**	0.0408**	0.3418
	Augmented	(1.6809)	(0.0965)	(0.1376)	(0.0200)	0.3418

Note(s): * significant at 10% level, ** significant at 5% level, *** significant at 1% level

Standard errors in parentheses. The regression specification for the standard Taylor rule is that in equation (2), while the specification for the extended Taylor rule is that in equation (3). Overidentification restrictions are tested using the Sargan J-Test with probabilities reported

Source(s): Authors’ own creation

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