EconPapers    
Economics at your fingertips  
 

State-dependent Monetary Policy Regimes

Shayan Zakipour-Saber
Additional contact information
Shayan Zakipour-Saber: Central Bank of Ireland

No 4/RT/19, Research Technical Papers from Central Bank of Ireland

Abstract: Are monetary policy regimes state-dependent? To answer the question this paper estimates New Keynesian general equilibrium models that allow the state of the economy to influence the monetary authority’s stance on inflation. I take advantage of recent developments in solving rational expectations models with state-dependent parameter drift to estimate three models on U.S. data between 1965-2009. In these models, the probability of remaining in a monetary policy regime that is relatively accommodative towards inflation, varies over time and depends on endogenous model variables; in particular, either deviations of inflation or output from their respective targets or a monetary policy shock. The main contribution of this paper is that it finds evidence of state-dependent monetary policy regimes. The model that allows inflation to influence the monetary policy regime in place, fits the data better than an alternative model with regime changes that are not state-dependent. This finding points towards reconsidering how changes in monetary policy are modeled.

Keywords: Markov-Switching DSGE; State-dependence; Bayesian Estimation (search for similar items in EconPapers)
JEL-codes: C13 C32 E42 E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac, nep-mon and nep-ore
Date: 2019-04
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://centralbank.ie/docs/default-source/publica ... -saber).pdf?sfvrsn=8 (application/pdf)

Related works:
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:cbi:wpaper:4/rt/19

Access Statistics for this paper

More papers in Research Technical Papers from Central Bank of Ireland Contact information at EDIRC.
Bibliographic data for series maintained by Fiona Farrelly ().

 
Page updated 2019-10-14
Handle: RePEc:cbi:wpaper:4/rt/19