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dc.contributor Cover, James P.
dc.contributor Lee, Junsoo
dc.contributor Hardin, J. Michael
dc.contributor Helms, Billy P.
dc.contributor.advisor Enders, Walter
dc.contributor.author Olson, Eric David
dc.date.accessioned 2017-02-28T22:26:52Z
dc.date.available 2017-02-28T22:26:52Z
dc.date.issued 2010
dc.identifier.other u0015_0000001_0000282
dc.identifier.other Olson_alatus_0004D_10304
dc.identifier.uri https://ir.ua.edu/handle/123456789/788
dc.description Electronic Thesis or Dissertation
dc.description.abstract This dissertation contains three essays regarding the Taylor curve. Taylor (1979) posited a permanent tradeoff between the volatility of output gap and the volatility of inflation. The first essay explores the empirical relationship between the volatility of inflation and the output gap. The last two essays implement optimal control techniques to construct Taylor curves for the United States and countries in the European Union. In the first essay, The Taylor curve necessitates that the correlation between the volatilities of inflation and the output gap be non-positive for optimal monetary policy. In essay one, the correlation between the second moments of inflation and the output gap are investigated using time-varying correlations, variance impulse response functions, and a time-varying parameter model. We find that macroeconomic performance is substantially better during time periods in which the correlation is negative as the Taylor curve suggests. In the second essay, we use data from 1875 examine the efficiency of U.S. monetary policy by measuring the orthogonal distance between the observed volatilities of the output gap and inflation from the Taylor curve. In addition, we identify time periods in which the variability of the U.S. economy changed by observing shifts in this efficiency frontier. We find that since 1940 the Taylor curve has trended towards the origin. Moreover, the cost of stabilizing inflation in terms of output gap volatility has steadily decreased through time. The Taylor curve also necessitates that the correlation between the volatilities of inflation and the output gap be non-positive for optimal monetary policy. In essay three, the efficiency a historical analysis of the European Monetary System and the monetary policy of European Central Bank (ECB) is conducted. Using data from European Union countries I measure the orthogonal distance between the observed volatilities of the output gap and inflation from their optimal levels. In addition, I identify time periods in which the variability of the E.U. economies changed by observing shifts in this efficiency frontier. I find in most EU countries, the Taylor curve has shifted towards the origin. In addition, stage II of the Maastricht Treaty was more instrumental in macroeconomic stabilization for EU countries than the beginning of ECB monetary policy. Policy by the ECB appears to be more conducive for France than any other countries in our sample.
dc.format.extent 87 p.
dc.format.medium electronic
dc.format.mimetype application/pdf
dc.language English
dc.language.iso en_US
dc.publisher University of Alabama Libraries
dc.relation.ispartof The University of Alabama Electronic Theses and Dissertations
dc.relation.ispartof The University of Alabama Libraries Digital Collections
dc.relation.hasversion born digital
dc.rights All rights reserved by the author unless otherwise indicated.
dc.subject.other Economics, General
dc.title Three essays on the Taylor curve
dc.type thesis
dc.type text
etdms.degree.department University of Alabama. Dept. of Economics, Finance, and Legal Studies
etdms.degree.discipline Economics (Business)
etdms.degree.grantor The University of Alabama
etdms.degree.level doctoral
etdms.degree.name Ph.D.


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