Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S
AbstractThis paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks' volatility, and time-varying trend inflation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-fit and identification of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks' volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and inflation gap persistence.
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Bibliographic InfoPaper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 691.
Date of creation: Feb 2010
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Other versions of this item:
- Efrem Castelnuovo & Luciano Greco & Davide Raggi, 2010. "Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S," "Marco Fanno" Working Papers 0109, Dipartimento di Scienze Economiche "Marco Fanno".
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
- NEP-CBA-2010-03-28 (Central Banking)
- NEP-MAC-2010-03-28 (Macroeconomics)
- NEP-MON-2010-03-28 (Monetary Economics)
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