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• W1553442937 abstract "A growing body of empirical literature has established interest rate rules as a convenient way to model and interpret monetary policy. However, as pointed out by Rudebusch (1998), vector autoregression (VAR) models used to recover the central banks' reaction functions generally rely on the dubious assumptions of linearity and time invariance. This paper proposes an empirical framework which allows the parameters of an interest rate rule to vary over time allowing for multiple regime shifts. Employing Markov-switching VAR models we are able to identify significant and persistent shifts which affects the dynamics of the central banks' instrument interest rates. The shifts are mainly driven by discrete changes in inflation targets." @default.
• W1553442937 created "2016-06-24" @default.
• W1553442937 creator A5019382623 @default.
• W1553442937 date "2002-01-01" @default.
• W1553442937 modified "2023-09-27" @default.
• W1553442937 title "Monetary Policy Rules and Regime Shifts" @default.
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• W1553442937 doi "https://doi.org/10.2139/ssrn.317324" @default.
• W1553442937 hasPublicationYear "2002" @default.
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