Monetary Policy Regime Shifts and Inflation Persistence
Troy Davig () and
The Review of Economics and Statistics, 2014, vol. 96, issue 5, 862-875
Using Bayesian methods, we estimate a Markov-switching New Keynesian (MSNK) model that allows shifts in the monetary policy reaction coefficients and shock volatilities with U.S. data. We find that a more aggressive monetary policy regime was in place after the Volcker disinflation and before 1970 than during the Great Inflation of the 1970s. Our estimates also indicate that a low-volatility regime has been in place during most of the sample period after 1984. We connect the timing of the different regimes to a measure of inflation persistence.
Keywords: Keynesian economics; monetary policy; Great Inflation; monetary policy regime (search for similar items in EconPapers)
JEL-codes: E42 E52 E65 (search for similar items in EconPapers)
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Working Paper: Monetary Policy Regime Shifts and Inflation Persistence (2009)
Working Paper: Monetary policy regime shifts and inflation persistence (2008)
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