Table 4 Constant parameter GMM results...

Table 4

Constant parameter GMM results with sub-period comparison using empirical break date determination for the standard Taylor rule

	Sub-period	$\bar{r}$	$φ_{π}$	$φ_{y}$	$φ_{q}$	Sargan test
United Kingdom	1985:1–1993:1	2.2361***	0.2505***	0.0161	–	0.3343
	1993:2–2001:10	1.8013***	0.0271	0.0250	–	0.4445
	2001:11–2009:4	1.4783***	0.0478	0.1779***	–	0.8733
	2009:5–2022:12	0.8402***	0.2396	0.2029***	–	0.4861
Canada	1985:1–1993:5	2.0727***	0.2418***	0.0572***	–	0.4189
	1993:6–2001:12	1.6320***	0.0704	0.0520	–	0.3569
	2002:1–2009:5	1.1086***	0.1292	0.2637	–	0.3360
	2009:6–2022:12	−0.6689***	0.5731***	0.1124	–	0.3437
Australia	1985:1–1992:7	2.3979***	0.2384***	0.0222	–	0.6969
	1992:8–2011:10	1.7043***	0.3165***	0.2143***	–	0.3558
	2011:11–2017:4	0.8338***	0.1504	0.6367*	–	0.5852
	2017:4–2022:12	−1.3245***	0.8293***	0.0361	–	0.5963
New Zealand	1985:1–1991:11	2.1463***	0.3904***	0.0527	–	0.5399
	1991:12–2009:3	1.7381***	0.1331*	0.1232**	–	0.0760
	2009:4–2017:6	0.9488***	0.0111	0.0992	–	0.5653
	2017:7–2022:12	0.1924	0.2911*	0.2320*	–	0.6327
Sweden	1985:1–1996:10	2.1032***	0.1880***	0.0603	–	0.5672
	1996:11–2009:4	1.3526***	0.0486	0.0219	–	0.4250
	2009:5–2017:6	−0.9833***	0.2518	0.0010	–	0.1134
	2017:7–2022:12	−5.7824***	2.1897***	1.3284*	–	0.7922
United States	1985:1–2001:12	1.7526***	0.2574***	0.0593	–	0.0908
	2002:1–2009:2	0.6952***	0.2373**	0.6969***	–	0.1462
	2009:3–2016:2	−2.0770***	0.0036	−0.0004	–	0.9965
	2016:3–2022:12	−0.8103***	0.6225***	0.2418	–	0.2650
Japan	1985:1–1995:6	1.0971***	0.2879**	0.3257***	–	0.5752
	1995:7–2009:9	−1.2144***	0.5576**	0.0899	–	0.5790
	2009:10–2012:3	−3.9960***	1.6215***	0.0875	–	0.8121
	2012:4–2022:12	−2.3026***	0.0000	0.0000	–	0.2623
Denmark	1985:1–1994:3	2.0977***	0.1860***	0.0249	–	0.5701
	1994:4–2003:8	1.0955***	0.1659***	0.2224***	–	0.5623
	2003:9–2009:12	1.0107***	0.1322**	0.2122***	–	0.4953
	2010:1–2022:12	−0.7439***	0.2516	0.1220	–	0.8209
Euro-Area	1999:1–2009:6	2.7230***	0.1093	0.6182***	–	0.4114
	2009:7–2013:1	1.0005***	0.0003	0.0003	–	0.8913
	2013:2–2016:5	−0.0115	0.2219**	1.0194***	–	0.7990
	2016:6–2022:12	0.0001	0.0000	0.0000	–	0.9982
Switzerland	1985:1–1995:12	1.5396***	0.2591***	0.0326	–	0.1991
	1996:1–2009:9	0.1948***	0.0786	0.5147***	–	0.1953
	2009:10–2015:3	−0.5977***	1.2604***	0.6325*	–	0.3406
	2015:4–2022:12	−0.2877***	0.0000	0.0000	–	0.9786

	Sub-period	$\bar{r}$	$φ_{π}$	$φ_{y}$	$φ_{q}$	Sargan test
United Kingdom	1985:1–1993:1	2.2361***	0.2505***	0.0161	–	0.3343
	1993:2–2001:10	1.8013***	0.0271	0.0250	–	0.4445
	2001:11–2009:4	1.4783***	0.0478	0.1779***	–	0.8733
	2009:5–2022:12	0.8402***	0.2396	0.2029***	–	0.4861
Canada	1985:1–1993:5	2.0727***	0.2418***	0.0572***	–	0.4189
	1993:6–2001:12	1.6320***	0.0704	0.0520	–	0.3569
	2002:1–2009:5	1.1086***	0.1292	0.2637	–	0.3360
	2009:6–2022:12	−0.6689***	0.5731***	0.1124	–	0.3437
Australia	1985:1–1992:7	2.3979***	0.2384***	0.0222	–	0.6969
	1992:8–2011:10	1.7043***	0.3165***	0.2143***	–	0.3558
	2011:11–2017:4	0.8338***	0.1504	0.6367*	–	0.5852
	2017:4–2022:12	−1.3245***	0.8293***	0.0361	–	0.5963
New Zealand	1985:1–1991:11	2.1463***	0.3904***	0.0527	–	0.5399
	1991:12–2009:3	1.7381***	0.1331*	0.1232**	–	0.0760
	2009:4–2017:6	0.9488***	0.0111	0.0992	–	0.5653
	2017:7–2022:12	0.1924	0.2911*	0.2320*	–	0.6327
Sweden	1985:1–1996:10	2.1032***	0.1880***	0.0603	–	0.5672
	1996:11–2009:4	1.3526***	0.0486	0.0219	–	0.4250
	2009:5–2017:6	−0.9833***	0.2518	0.0010	–	0.1134
	2017:7–2022:12	−5.7824***	2.1897***	1.3284*	–	0.7922
United States	1985:1–2001:12	1.7526***	0.2574***	0.0593	–	0.0908
	2002:1–2009:2	0.6952***	0.2373**	0.6969***	–	0.1462
	2009:3–2016:2	−2.0770***	0.0036	−0.0004	–	0.9965
	2016:3–2022:12	−0.8103***	0.6225***	0.2418	–	0.2650
Japan	1985:1–1995:6	1.0971***	0.2879**	0.3257***	–	0.5752
	1995:7–2009:9	−1.2144***	0.5576**	0.0899	–	0.5790
	2009:10–2012:3	−3.9960***	1.6215***	0.0875	–	0.8121
	2012:4–2022:12	−2.3026***	0.0000	0.0000	–	0.2623
Denmark	1985:1–1994:3	2.0977***	0.1860***	0.0249	–	0.5701
	1994:4–2003:8	1.0955***	0.1659***	0.2224***	–	0.5623
	2003:9–2009:12	1.0107***	0.1322**	0.2122***	–	0.4953
	2010:1–2022:12	−0.7439***	0.2516	0.1220	–	0.8209
Euro-Area	1999:1–2009:6	2.7230***	0.1093	0.6182***	–	0.4114
	2009:7–2013:1	1.0005***	0.0003	0.0003	–	0.8913
	2013:2–2016:5	−0.0115	0.2219**	1.0194***	–	0.7990
	2016:6–2022:12	0.0001	0.0000	0.0000	–	0.9982
Switzerland	1985:1–1995:12	1.5396***	0.2591***	0.0326	–	0.1991
	1996:1–2009:9	0.1948***	0.0786	0.5147***	–	0.1953
	2009:10–2015:3	−0.5977***	1.2604***	0.6325*	–	0.3406
	2015:4–2022:12	−0.2877***	0.0000	0.0000	–	0.9786

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). Overidentification restrictions are tested using the Sargan J-Test with probabilities reported

Source(s): Authors’ own creation

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