Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach
AbstractWe use two different nonparametric methods to determine whether there were multiple regimes in U.S. monetary policy over the period 1955-2003. We model monetary policy using two different versions of Taylor's rule for the nominal interest-rate target. By contrast with parametric tests for regime changes, the nonparametric methods we use allow the data to determine the dimensions on which to split the sample for purposes of estimating the coefficients of the Taylor rule. We find evidence for a few structural breaks and consistent agreement between our two nonparametric methods on the dating of those breaks.
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Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 38 (2006)
Issue (Month): 5 (August)
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Other versions of this item:
- John Duffy and Jim Engle-Warnick, 2001. "Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach," Computing in Economics and Finance 2001 151, Society for Computational Economics.
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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