Regime Switching and Monetary Policy Measurement

Michael Owyang and Garey Ramey

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: This paper applies regime switching methods to the problem of measuring monetary policy. Policy preferences and structural factors are specified parametrically as independent Markov processes. Interaction between the structural and preference parameters in the policy rule serves to identify the two processes. The estimates uncover policy episodes that are initiated by switches of "dove regimes," shown to Granger cause both NBER recessions and the Romer dates. These episodes imply real effects of monetary policy that are smaller than those found in previous studies.

Keywords: Markov proceses; regime switching (search for similar items in EconPapers)
Date: 2001-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.escholarship.org/uc/item/24q32688.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: Regime switching and monetary policy measurement (2004)
Working Paper: Regime switching and monetary policy measurement (2003)
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:cdl:ucsdec:qt24q32688

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().