Were There Regime Switches in U.S. Monetary Policy?
Dados Bibliográficos
| ID | 23344693 |
|---|---|
| Autores | Christopher A Sims (Princeton University), Tao Zha (0000-0001-5764-5131, Federal Reserve Bank of Atlanta) |
| Ano | 2006 |
| Volume | 96 |
| Fascículo | 1 |
| Páginas | 54-81 |
| Data de publicação | 2006-02-01 |
| Peer Reviewed | Sim |
| Open Access | Não |
| Tipo | ARTICLE |
| Periódico | American Economic Review (JOURNAL) |
| Identificadores do periódico | ISSN: 0002-8282 • E-ISSN: 1944-7981 |
| Editora | American Economic Association (PUBLISHER • US) |
| DOI | 10.1257/000282806776157678 |
| OpenAlex | W3123583581 |
| Idioma | EN |
| Citações recebidas | 62 |
| Referências citadas | 18 |
A multivariate regime-switching model for monetary policy is confronted with U.S. data. The best fit allows time variation in disturbance variances only. With coefficients allowed to change, the best fit is with change only in the monetary policy rule and there are three estimated regimes corresponding roughly to periods when most observers believe that monetary policy actually differed. But the differences among regimes are not large enough to account for the rise, then decline, in inflation of the 1970s and 1980s. Our estimates imply monetary targeting was central in the early 1980s, but also important sporadically in the 1970s.
Econometrics · Economics · Inflation (cosmology) · Inflation targeting · Monetary economics · Monetary policy · Multivariate statistics · Physics · Political science · Politics · Regime change · Simultaneity · Statistics · Mathematics · Monetary Policy and Economic Impact
Comparing Density Forecasts via Weighted Likelihood Ratio Tests
Structural Vector Autoregressions
Shocks and Frictions in US Business Cycles
Uncertainty shocks and unemployment dynamics
Identifying Uncertainty Shocks Using the Price of Gold
Asset Market Participation, Monetary Policy Rules, and the Great Inflation
La courbe de Phillips
A Comparison of Approaches to Select the Informativeness of Priors in BVARs
The macroeconomy as a random forest
How to estimate a vector autoregression after March 2020
General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields
US Monetary Policy and Indeterminacy
Contagious switching
High‐Frequency Instruments With Time‐Varying Reliability
Trade Dependence, Uncertainty Expectations, and Sino–U.S. Political Relations
Inflation and energy price shocks
Is unemployment hysteretic or structural? A Bayesian model selection approach
Measuring monetary policy
The great moderation
From Conventional to Unconventional Monetary Policy
Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Inflation uncertainty
The Role of Global and Domestic Shocks for Inflation Dynamics
Do Fed Forecast Errors Matter
Federal Reserve Chairs and Monetary Regimes
Monetary–Fiscal Policy Interactions and Inflation Dynamics
Adapting sustainable forest management to climate policy uncertainty
Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring
Heteroscedastic Proxy Vector Autoregressions
Disentangling Structural Breaks in Factor Models for Macroeconomic Data
Markov-Switching Three-Pass Regression Filter
Interest Rates and Money in the Measurement of Monetary Policy
Real-Time Inflation Forecasting in a Changing World
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
Constrained Discretion and Central Bank Transparency
Identifying the Sources of Instabilities in Macroeconomic Fluctuations
Has Monetary Policy Become More Effective
Monetary Policy Regime Shifts and Inflation Persistence
Policy Regimes, Policy Shifts, and U.S. Business Cycles
Measuring Uncertainty and Its Impact on the Economy
Endogenous Time Variation in Vector Autoregressions
Interest Rate Pass-Through and Consumption Response
Food price inflation forecasting
Technology News and the US Economy
Welfare costs of monetary policy uncertainty in the economy with shifting trend inflation
Taylor Rules and Liquidity in Financial Markets
L'adoption du ciblage d'inflation produit-elle un changement de régime
Les cycles économiques de la France
Regional economic resilience in China
The Short-run Policy Constraints of Long-run Expectations
Forward guidance investigation in new Keynesian models
Effects of financial constraints and policy uncertainty on the economy with shifting trend inflation
Unveiling the ECB's Monetary Policy Behaviour Under Different Inflation Regimes
Policy Regime Changes, Judgment and Taylor rules in the Greenspan Era
Quantifying the Federal Reserve's objectives using a structural vector autoregressive model
Measuring the Time Inconsistency of US Monetary Policy
The Meaning of Internal Balance’ Thirty Years On
The Structural Dynamics of Output Growth and Inflation
Monetary Policy, Endogenous Inattention and the Volatility Trade‐off
The Dynamics of Reciprocity, Accountability, and Credibility
Are the Defense Policy and Military Expenditure in China Economically or Politically Driven
Interpreting the Great Moderation
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Monetary Policy Rules and Macroeconomic Stability
Drifts and volatilities
Time Varying Structural Vector Autoregressions and Monetary Policy
Implications of rational inattention
Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
| Obras citantes distintas | 62 |
|---|---|
| Citações por ano | 3,1 |
| Intervalo de citações | 2006 - 2026 (21) |
| Velocidade de citação | current |
| Altamente citado | Não |
| Tipos de citação | Neutras: 61 |