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

Martin Mandler

Economics Letters, 2012, vol. 116, issue 3, 422-425

Abstract: We use a threshold vector autoregression to study the effects of monetary policy shocks on the US. Depending on the level of inflation we note important regime dependence in the inflation response to monetary policy shocks.

Keywords: Monetary policy shocks; Threshold vector autoregression; Regime switching; Inflation (search for similar items in EconPapers)
JEL-codes: C32 E31 E37 E52 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:422-425

DOI: 10.1016/j.econlet.2012.04.027

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