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Taylor Rule

Quick study about how the Taylor rule fits the real historical federal fund rates. If you're interested in this simply e-mail me and I will provide you my report (french) : antoine.falck@gmail.com

The data analysis and figures were made with R under the 3.3.2 version.

Datas

I use different datas which all are from the official Federal Reserve website https://www.stlouisfed.org. See the report for the the exact links.

The different files are :

  • DP_LIVE_19012017220247244.csv which gives the growth values for different countries on different periods
  • FEDFUNDS.csv the nominal rates from 1954 to today
  • FPCPITOTLZGUSA.csv the inflation in the US since 1960
  • GDPC1.csv the real GDP of the US

Taylor rule implementation

The implementation is given in the principal file plot.r and needs the zoo library. The different steps are discribed in the final report.

Plots

All the plots given by the program plot.r are in the folder plot. They are also part of the interpretation in the final report.

RData is a binary file were all the R objects are saved in.