Finance and Economics Discussion Series (FEDS)
September 2026
Optimal Pooling in Taylor Rule Estimation with Multiple-Horizon Forecast Panels
Edward Herbst and Karen Page
Abstract:
Multiple-horizon forecast panels are increasingly used to infer perceived monetary policy rules, but inference depends on how coefficients are pooled across forecasters, dates, and horizons. We treat this pooling structure as the object of inference. In a participant-date-horizon Taylor-rule regression model, we compare pooling patterns using Bayesian marginal likelihoods, applying the framework to the Blue Chip Financial Forecasts, Survey of Professional Forecasters, and the Summary of Economic Projections. The preferred specifications place much of the systematic variation in policy-rate forecasts in intercepts that vary across forecast horizons and survey dates. Evidence of "changing perceptions" of monetary policy via economically meaningful time-varying response coefficients is weak overall.
Keywords: Taylor rules; monetary policy expectations; survey forecasts; Bayesian model selection; coefficient heterogeneity
DOI: https://doi.org/10.17016/FEDS.2026.064
PDF: Full Paper
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