Monetary and fiscal policy switching with time-varying volatilities

Libo Xu and Apostolos Serletis

Economics Letters, 2016, vol. 145, issue C, 202-205

Abstract: This paper extends the ongoing literature on regime change. The extension allows time variation in disturbance variances of interest rate rules for monetary policy and tax rules for fiscal policy that switch stochastically between two regimes. We achieve superior modelings of monetary and fiscal policy rules with quarterly US data.

Keywords: Monetary–fiscal interactions; Regime-switching; GARCH (search for similar items in EconPapers)
JEL-codes: C22 C24 E42 E52 E62 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016517651630221X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Monetary and Fiscal Policy Switching with Time-Varying Volatilities (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:145:y:2016:i:c:p:202-205

DOI: 10.1016/j.econlet.2016.06.017

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().