Table 3 Constant parameter GMM results...

Table 3

Constant parameter GMM results with sub-period comparison with visual break point determination

		Sub-period	$\bar{r}$	$φ_{π}$	$φ_{y}$	$φ_{q}$	Sargan test
United Kingdom	Standard	1985:1–2009:2	2.0280***	0.4263***	0.1127***	–	0.2844
	Standard	2009:3–2022:12	0.6623***	0.0862	0.0650	–	0.7460
	Augmented	1985:1–2009:2	4.6656***	0.4702***	0.0717	0.0229***	0.5581
	Augmented	2009:3–2022:12	2.8348*	0.2325	0.1497***	0.0190	0.7193
Canada	Standard	1985:1–2009:2	1.8616***	0.6037***	0.0509	–	0.1620
	Standard	2009:3–2022:12	0.6192***	0.5930***	0.0836	–	0.3777
	Augmented	1985:1–2009:2	0.5029	0.5208***	0.0321	0.0118***	0.4692
	Augmented	2009:3–2022:12	4.1342***	0.5520***	0.0286	0.0323***	0.4857
Australia	Standard	1985:1–2009:2	2.0076***	0.3780***	0.2499***	–	0.2052
	Standard	2009:3–2022:12	0.7704**	1.1906***	0.0230	–	0.2832
	Augmented	1985:1–2009:2	1.8081***	0.3838***	0.2431***	0.0668	0.2618
	Augmented	2009:3–2022:12	0.9820**	1.2566***	0.3153	0.7365**	0.3400
New Zealand	Standard	1985:1–2009:2	3.1846***	1.0709***	0.8930***	–	0.0965
	Standard	2009:3–2022:12	2.8008***	0.1379	0.7645	–	0.8410
	Augmented	1985:1–2009:2	1.2420	0.4684***	0.0240	0.0088	0.8885
	Augmented	2009:3–2022:12	1.7630	0.0590	0.4561	0.0089	0.5553
Sweden	Standard	1985:1–2009:2	1.5008***	0.5784***	0.0542	–	0.1417
	Standard	2009:3–2022:12	1.0279***	0.2022	0.1024	–	0.2327
	Augmented	1985:1–2009:2	1.4921***	0.5959***	0.0948	0.4427**	0.7223
	Augmented	2009:3–2022:12	0.4838	0.2812	0.0279	0.2064	0.6930
United States	Standard	1985:1–2011:12	1.4947***	1.1820***	0.1888	–	0.4244
	Standard	2012:1–2022:12	1.5057***	0.5294***	0.1143	–	0.5105
	Augmented	1985:1–2011:12	1.5077***	1.0574***	0.2121	0.0537	0.6010
	Augmented	2012:1–2022:12	1.7893***	0.6971**	1.5594	0.5802	0.6319
Japan	Standard	1985:1–2012:12	0.9308***	1.3223***	0.4237***	–	0.0997
	Standard	2013:1–2022:12	−2.2996***	0.0026	0.0075	–	0.2347
	Augmented	1985:1–2012:12	0.8392***	1.2815***	0.3707***	0.0656	0.2188
	Augmented	2013:1–2022:12	−2.5901***	0.1751**	0.1631	0.0563	0.2583
Denmark	Standard	1985:1–2011:10	1.2101***	0.3912***	0.1010**	–	0.2169
	Standard	2011:11–2022:12	−0.4845	0.0701	0.0769	–	0.5639
	Augmented	1985:1–2011:10	1.2097***	0.3874***	0.0779	0.0827	0.4267
	Augmented	2011:11–2022:12	−0.5010**	0.0801	0.0744	0.1887	0.8195
Euro-Area	Standard	1985:1–2008:9	2.5416***	0.0962	0.7390***	–	0.1555
	Standard	2008:10–2022:12	−0.2033	0.4564**	0.1392	–	0.3102
	Augmented	1985:1–2008:9	9.2304***	0.4160	0.6263***	0.0526***	0.3172
	Augmented	2008:10–2022:12	−7.6741***	0.2106	0.0471	0.0764***	0.0590
Switzerland	Standard	1985:1–2008:9	2.8604***	1.2634***	0.0092	–	0.1672
	Standard	2008:10–2022:12	−0.6278	0.9355**	1.2838**	–	0.6628
	Augmented	1985:1–2008:9	1.2931	1.2275***	0.5091***	0.0260	0.7134
	Augmented	2008:10–2022:12	−5.7931***	0.7538**	0.8497**	0.1735***	0.7452

		Sub-period	$\bar{r}$	$φ_{π}$	$φ_{y}$	$φ_{q}$	Sargan test
United Kingdom	Standard	1985:1–2009:2	2.0280***	0.4263***	0.1127***	–	0.2844
	Standard	2009:3–2022:12	0.6623***	0.0862	0.0650	–	0.7460
	Augmented	1985:1–2009:2	4.6656***	0.4702***	0.0717	0.0229***	0.5581
	Augmented	2009:3–2022:12	2.8348*	0.2325	0.1497***	0.0190	0.7193
Canada	Standard	1985:1–2009:2	1.8616***	0.6037***	0.0509	–	0.1620
	Standard	2009:3–2022:12	0.6192***	0.5930***	0.0836	–	0.3777
	Augmented	1985:1–2009:2	0.5029	0.5208***	0.0321	0.0118***	0.4692
	Augmented	2009:3–2022:12	4.1342***	0.5520***	0.0286	0.0323***	0.4857
Australia	Standard	1985:1–2009:2	2.0076***	0.3780***	0.2499***	–	0.2052
	Standard	2009:3–2022:12	0.7704**	1.1906***	0.0230	–	0.2832
	Augmented	1985:1–2009:2	1.8081***	0.3838***	0.2431***	0.0668	0.2618
	Augmented	2009:3–2022:12	0.9820**	1.2566***	0.3153	0.7365**	0.3400
New Zealand	Standard	1985:1–2009:2	3.1846***	1.0709***	0.8930***	–	0.0965
	Standard	2009:3–2022:12	2.8008***	0.1379	0.7645	–	0.8410
	Augmented	1985:1–2009:2	1.2420	0.4684***	0.0240	0.0088	0.8885
	Augmented	2009:3–2022:12	1.7630	0.0590	0.4561	0.0089	0.5553
Sweden	Standard	1985:1–2009:2	1.5008***	0.5784***	0.0542	–	0.1417
	Standard	2009:3–2022:12	1.0279***	0.2022	0.1024	–	0.2327
	Augmented	1985:1–2009:2	1.4921***	0.5959***	0.0948	0.4427**	0.7223
	Augmented	2009:3–2022:12	0.4838	0.2812	0.0279	0.2064	0.6930
United States	Standard	1985:1–2011:12	1.4947***	1.1820***	0.1888	–	0.4244
	Standard	2012:1–2022:12	1.5057***	0.5294***	0.1143	–	0.5105
	Augmented	1985:1–2011:12	1.5077***	1.0574***	0.2121	0.0537	0.6010
	Augmented	2012:1–2022:12	1.7893***	0.6971**	1.5594	0.5802	0.6319
Japan	Standard	1985:1–2012:12	0.9308***	1.3223***	0.4237***	–	0.0997
	Standard	2013:1–2022:12	−2.2996***	0.0026	0.0075	–	0.2347
	Augmented	1985:1–2012:12	0.8392***	1.2815***	0.3707***	0.0656	0.2188
	Augmented	2013:1–2022:12	−2.5901***	0.1751**	0.1631	0.0563	0.2583
Denmark	Standard	1985:1–2011:10	1.2101***	0.3912***	0.1010**	–	0.2169
	Standard	2011:11–2022:12	−0.4845	0.0701	0.0769	–	0.5639
	Augmented	1985:1–2011:10	1.2097***	0.3874***	0.0779	0.0827	0.4267
	Augmented	2011:11–2022:12	−0.5010**	0.0801	0.0744	0.1887	0.8195
Euro-Area	Standard	1985:1–2008:9	2.5416***	0.0962	0.7390***	–	0.1555
	Standard	2008:10–2022:12	−0.2033	0.4564**	0.1392	–	0.3102
	Augmented	1985:1–2008:9	9.2304***	0.4160	0.6263***	0.0526***	0.3172
	Augmented	2008:10–2022:12	−7.6741***	0.2106	0.0471	0.0764***	0.0590
Switzerland	Standard	1985:1–2008:9	2.8604***	1.2634***	0.0092	–	0.1672
	Standard	2008:10–2022:12	−0.6278	0.9355**	1.2838**	–	0.6628
	Augmented	1985:1–2008:9	1.2931	1.2275***	0.5091***	0.0260	0.7134
	Augmented	2008:10–2022:12	−5.7931***	0.7538**	0.8497**	0.1735***	0.7452

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

Standard errors not reported. 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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