• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing:  ProQuest, Crossref, Electronic Journals Library , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2015 Vol.6(1): 58-61 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2015.V6.443

Interest Rate Prediction with Taylor Rule

T. Bouchabchoub, A. Bendahmane, A. Haouriqui, and N. Attou
Abstract—This paper presents simulation results of Forex predicting model equations in order to approximately give a prevision of interest rates. First, Hall-Taylor (HT) equations have been used with Taylor rule (TR) to adapt them to European and American Forex Markets. Indeed, the initial Taylor rule equation is conceived for all Forex transactions in every State: it includes only one equation and six parameters. In this work, the model has been predicted with Hall-Taylor equations, initially including twelve equations which have been reduced to only three. Analysis has been developed on the following base macroeconomic variables: real change rate, investment wages, anticipated inflation, realized inflation, real production, interest rates, gap production and potential production. This model has been used to specifically study the impact of an inflation shock on macroeconomic director interest rates.

Index Terms—Interest rate, forex, Taylor rule, production, European Central Bank (ECB), Federal Reserve System (FED).

The authors are with Undergraduate students ECE Paris School of Engineering, France (e-mail: bouchabc@ece.fr).


Cite: T. Bouchabchoub, A. Bendahmane, A. Haouriqui, and N. Attou, "Interest Rate Prediction with Taylor Rule," International Journal of Trade, Economics and Finance vol.6, no.1, pp. 58-61, 2015.

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