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

Castelnuovo, Efrem ; Greco, Luciano ; Raggi, Davide (2010) Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S. Bologna: Dipartimento di Scienze economiche DSE, p. 35. DOI 10.6092/unibo/amsacta/4550. In: Quaderni - Working Paper DSE (691). ISSN 2282-6483.
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Abstract

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.

Abstract
Tipologia del documento
Monografia (Working paper)
Autori
AutoreAffiliazioneORCID
Castelnuovo, Efrem
Greco, Luciano
Raggi, Davide
Parole chiave
Policy switches, heteroskedasticity, trend inflation, inflation gap persistence, Markov-Switching models.
Settori scientifico-disciplinari
Area 13 - Scienze economiche e statistiche > SECS-P/05 Econometria
ISSN
2282-6483
DOI
10.6092/unibo/amsacta/4550
Data di deposito
04 Feb 2016 11:25
Ultima modifica
04 Feb 2016 11:25
URI
https://amsacta.unibo.it/id/eprint/4550

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