Table 5 Constant parameter GMM results...

Table 5

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

	Sub-period	$\bar{r}$	$φ_{π}$	$φ_{y}$	$φ_{q}$	Sargan test
United Kingdom	1985:1–1993:1	2.9018***	0.3001***	0.0134	−0.0059	0.4372
	1993:2–2001:10	2.5147***	0.1140**	0.0391	−0.0057**	0.5931
	2001:11–2009:4	−0.2644	0.0630	0.1707***	0.0145	0.7530
	2009:5–2022:12	−0.3113	0.0023	0.1603***	−0.0035	0.7480
Canada	1985:1–1993:5	−0.2272	0.1934***	0.0204	0.0202***	0.6209
	1993:6–2001:12	1.4941*	0.0068	0.0398	0.0011	0.4572
	2002:1–2009:5	−0.9872	0.2320**	0.1349	0.0164	0.5182
	2009:6–2022:12	−3.5234**	0.5210**	0.5010***	0.0243*	0.5769
Australia	1985:1–1992:7	2.2919***	0.2278***	0.0457	−0.0921**	0.8158
	1992:8–2011:10	1.7122***	0.1808***	0.0837	−0.1372***	0.3540
	2011:11–2017:4	0.7821***	0.1684	0.6608**	0.0362	0.7133
	2017:4–2022:12	−1.3385***	0.8292***	0.0350	0.0326	0.7557
New Zealand	1985:1–1991:11	2.2947***	0.3261***	0.1552**	0.1058*	0.7625
	1991:12–2009:3	1.7950***	0.0853*	0.0522	0.1686***	0.1592
	2009:4–2017:6	0.9458***	0.0083	0.1074	−0.0014	0.7792
	2017:7–2022:12	−0.4877**	0.6622***	0.0623	−0.2480	0.7766
Sweden	1985:1–1996:10	2.0871***	0.1829***	0.0201	0.0537	0.5195
	1996:11–2009:4	1.3498***	0.0340	0.0200	−0.0129	0.6247
	2009:5–2017:6	−0.2821	0.4625	0.3116	0.1121	0.4851
	2017:7–2022:12	−3.650***	0.5040	3.0061***	0.6713	0.8643
United States	1985:1–2001:12	1.8125***	0.1834***	0.1110***	0.0355	0.4599
	2002:1–2009:2	0.7984***	0.7136***	0.6590***	0.2326***	0.7538
	2009:3–2016:2	−2.0794***	0.0000	0.0000	0.0000	0.9998
	2016:3–2022:12	−1.3946***	0.8223***	0.8764***	0.3810***	0.8687
Japan	1985:1–1995:6	1.0790***	0.2615**	0.2886***	−0.0364	0.6764
	1995:7–2009:9	−1.2171***	0.6167**	0.0800	−0.1067	0.7179
	2009:10–2012:3	−3.6137***	1.1932***	0.1305	−0.0067	0.8803
	2012:4–2022:12	−2.6376***	0.6658**	0.1707	0.1393	0.6200
Denmark	1985:1–1994:3	2.0498***	0.1166***	0.0126	0.0093	0.5842
	1994:4–2003:8	1.1738***	0.1147**	0.2066***	0.0904	0.6234
	2003:9–2009:12	1.0755***	0.1506**	0.1675***	0.9020***	0.7616
	2010:1–2022:12	−0.7306***	0.2643	0.0882	0.3958	0.9627
Euro-Area	1999:1–2009:6	8.4953***	0.3843**	0.6925***	−0.0512***	0.5977
	2009:7–2013:1	1.0045	0.0001	0.0001	0.0000	0.9757
	2013:2–2016:5	0.4106	0.1705**	1.2498***	−0.0051	0.9306
	2016:6–2022:12	0.0001	0.0000	0.0000	0.0000	0.9315
Switzerland	1985:1–1995:12	1.4153***	0.1941***	0.0971*	−0.0595	0.3684
	1996:1–2009:9	0.2076***	0.0287	0.5577***	−0.1627	0.1877
	2009:10–2015:3	1.2990*	0.9524	0.3083	0.2454	0.8284
	2015:4–2022:12	−0.2877***	0.0000	0.0000	0.0000	0.9909

	Sub-period	$\bar{r}$	$φ_{π}$	$φ_{y}$	$φ_{q}$	Sargan test
United Kingdom	1985:1–1993:1	2.9018***	0.3001***	0.0134	−0.0059	0.4372
	1993:2–2001:10	2.5147***	0.1140**	0.0391	−0.0057**	0.5931
	2001:11–2009:4	−0.2644	0.0630	0.1707***	0.0145	0.7530
	2009:5–2022:12	−0.3113	0.0023	0.1603***	−0.0035	0.7480
Canada	1985:1–1993:5	−0.2272	0.1934***	0.0204	0.0202***	0.6209
	1993:6–2001:12	1.4941*	0.0068	0.0398	0.0011	0.4572
	2002:1–2009:5	−0.9872	0.2320**	0.1349	0.0164	0.5182
	2009:6–2022:12	−3.5234**	0.5210**	0.5010***	0.0243*	0.5769
Australia	1985:1–1992:7	2.2919***	0.2278***	0.0457	−0.0921**	0.8158
	1992:8–2011:10	1.7122***	0.1808***	0.0837	−0.1372***	0.3540
	2011:11–2017:4	0.7821***	0.1684	0.6608**	0.0362	0.7133
	2017:4–2022:12	−1.3385***	0.8292***	0.0350	0.0326	0.7557
New Zealand	1985:1–1991:11	2.2947***	0.3261***	0.1552**	0.1058*	0.7625
	1991:12–2009:3	1.7950***	0.0853*	0.0522	0.1686***	0.1592
	2009:4–2017:6	0.9458***	0.0083	0.1074	−0.0014	0.7792
	2017:7–2022:12	−0.4877**	0.6622***	0.0623	−0.2480	0.7766
Sweden	1985:1–1996:10	2.0871***	0.1829***	0.0201	0.0537	0.5195
	1996:11–2009:4	1.3498***	0.0340	0.0200	−0.0129	0.6247
	2009:5–2017:6	−0.2821	0.4625	0.3116	0.1121	0.4851
	2017:7–2022:12	−3.650***	0.5040	3.0061***	0.6713	0.8643
United States	1985:1–2001:12	1.8125***	0.1834***	0.1110***	0.0355	0.4599
	2002:1–2009:2	0.7984***	0.7136***	0.6590***	0.2326***	0.7538
	2009:3–2016:2	−2.0794***	0.0000	0.0000	0.0000	0.9998
	2016:3–2022:12	−1.3946***	0.8223***	0.8764***	0.3810***	0.8687
Japan	1985:1–1995:6	1.0790***	0.2615**	0.2886***	−0.0364	0.6764
	1995:7–2009:9	−1.2171***	0.6167**	0.0800	−0.1067	0.7179
	2009:10–2012:3	−3.6137***	1.1932***	0.1305	−0.0067	0.8803
	2012:4–2022:12	−2.6376***	0.6658**	0.1707	0.1393	0.6200
Denmark	1985:1–1994:3	2.0498***	0.1166***	0.0126	0.0093	0.5842
	1994:4–2003:8	1.1738***	0.1147**	0.2066***	0.0904	0.6234
	2003:9–2009:12	1.0755***	0.1506**	0.1675***	0.9020***	0.7616
	2010:1–2022:12	−0.7306***	0.2643	0.0882	0.3958	0.9627
Euro-Area	1999:1–2009:6	8.4953***	0.3843**	0.6925***	−0.0512***	0.5977
	2009:7–2013:1	1.0045	0.0001	0.0001	0.0000	0.9757
	2013:2–2016:5	0.4106	0.1705**	1.2498***	−0.0051	0.9306
	2016:6–2022:12	0.0001	0.0000	0.0000	0.0000	0.9315
Switzerland	1985:1–1995:12	1.4153***	0.1941***	0.0971*	−0.0595	0.3684
	1996:1–2009:9	0.2076***	0.0287	0.5577***	−0.1627	0.1877
	2009:10–2015:3	1.2990*	0.9524	0.3083	0.2454	0.8284
	2015:4–2022:12	−0.2877***	0.0000	0.0000	0.0000	0.9909

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

Standard errors not reported. The regression specification for the augmented 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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