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Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S

  • E. Castelnuovo
  • L. Greco
  • D. Raggi

This 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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Paper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 691.

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Date of creation: Feb 2010
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Handle: RePEc:bol:bodewp:691
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