Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach

John Duffy and Jim Engle-Warnick

Journal of Money, Credit and Banking, 2006, vol. 38, issue 5, 1363-1377

Abstract: We use two different nonparametric methods to determine whether there were multiple regimes in U.S. monetary policy over the period 1955-2003. We model monetary policy using two different versions of Taylor's rule for the nominal interest-rate target. By contrast with parametric tests for regime changes, the nonparametric methods we use allow the data to determine the dimensions on which to split the sample for purposes of estimating the coefficients of the Taylor rule. We find evidence for a few structural breaks and consistent agreement between our two nonparametric methods on the dating of those breaks.

Date: 2006
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Working Paper: Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:38:y:2006:i:5:p:1363-1377

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