Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions

Martin Mandler

No 201008, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy while the inflation response is negative. The paper endogenously determines two distinct regimes, while the literature thus far only considers alternative subsamples.

Keywords: monetary policy shocks; threshold vector autoregression (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2010
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Working Paper: Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201008

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