The existing empirical literature on Taylor-type interest rate rules has failed to achieve a robust consensus. Indeed, the relatively common finding that the Taylor principle does not hold has fueled a degree of controversy in the field. We attribute these mixed estimation results to a raft of...

The existing empirical literature on Taylor-type interest rate rules has failed to achieve a robust consensus. Indeed, the relatively common finding that the Taylor principle does not hold has fueled a degree of controversy in the field. We attribute these mixed estimation results to a raft of...

This paper aims to extend recent work on the term structure of interest rates by establishing, in the context of the medium term UK interbank market, forecasting models which make use of market spreads as error correction terms. These models are then used withi n a trading scenario to test the...