IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

The Reaction of Reduced-Form Coefficients to Regime Changes: The Case of Interest Rates

  • Joe Peek
  • James A. Wilcox
Registered author(s):

This study investigates whether the apparent intertemporal instability of a particular reduced-form equation (that for interest rates) can be explained by changing government policy parameters, or regimes, and otherwise stable structural parameters. We hypothesize that major fiscal, monetary, and regulatory policy parameter shifts have been important sources of that instability. Direct tests imply that reduced-form coefficients move by statistically significant and economically meaningful amounts in response to policy parameter change. Allowing for this systematic parameter variation produces greater stability in the remaining parameters. Furthermore, in-sample and out-of-sample forecasts from the proposed model out perform those from the non-responsive parameter specification.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.nber.org/papers/w1379.pdf
Download Restriction: no

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 1379.

as
in new window

Length:
Date of creation: Jun 1984
Date of revision:
Handle: RePEc:nbr:nberwo:1379
Note: ME
Contact details of provider: Postal:
National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.

Phone: 617-868-3900
Web page: http://www.nber.org
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Carr, Jack L & Pesando, James E & Smith, Lawrence B, 1976. "Tax Effects, Price Expectations and the Nominal Rate of Interest," Economic Inquiry, Western Economic Association International, vol. 14(2), pages 259-69, June.
  2. Peek, Joe, 1982. "Interest Rates, Income Taxes, and Anticipated Inflation," American Economic Review, American Economic Association, vol. 72(5), pages 980-91, December.
  3. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
  4. Levi, Maurice D & Makin, John H, 1978. "Anticipated Inflation and Interest Rates: Further Interpretation of Findings on the Fisher Equation," American Economic Review, American Economic Association, vol. 68(5), pages 801-12, December.
  5. Cargill, Thomas F, 1976. "Anticipated Price Changes and Nominal Interest Rates in the 1950's," The Review of Economics and Statistics, MIT Press, vol. 58(3), pages 364-67, August.
  6. Carlson, John A, 1979. "Expected Inflation and Interest Rates," Economic Inquiry, Western Economic Association International, vol. 17(4), pages 597-608, October.
  7. Tanzi, Vito, 1980. "Inflationary Expectations, Economic Activity, Taxes, and Interest Rates," American Economic Review, American Economic Association, vol. 70(1), pages 12-21, March.
  8. Russell Davidson & James G. MacKinnon, 1981. "Tests for Model Specification in the Presence of Alternative Hypotheses: Some Further Results," Working Papers 430, Queen's University, Department of Economics.
  9. Darby, Michael R, 1975. "The Financial and Tax Effects of Monetary Policy on Interest Rates," Economic Inquiry, Western Economic Association International, vol. 13(2), pages 266-76, June.
  10. Slovin, Myron B. & Sushka, Marie Elizabeth, 1983. "Money, interest rates, and risk," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 475-482, September.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:1379. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.