Credibility of Interest Rate Policies in Eight EMS Countries: An Application of the Markov Regime-Switching

Philip Arestis
Authors registered in the RePEc Author Service: Martin Robert Weale ()

No 223, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: This paper uses the Markov regime-switching modelling in a bivariate Autoregressive framework to study the credibility of monetary policy in eight member countries of the European Monetary System (EMS) during the period 1979 to 1998. The eight countries are: Austria, Belgium, France, Finland, Italy, the Netherlands, Portugal and Spain; a tenth country, Germany, is used as a benchmark case. The output-gap variability and the inflation variability variables are incorporated in the determination of the preferences of individual member countries of the EMS in the conduct of monetary policy. Our empirical evidence shows that although all countries in our sample follow a credible monetary policy in relation to price stability, not all of them have the same preferences regarding the trade-off between stabilisation of output-gap variability and inflation variability.

Date: 2003-05
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:nsr:niesrd:223

Access Statistics for this paper

More papers in National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research 2 Dean Trench Street Smith Square London SW1P 3HE. Contact information at EDIRC.
Bibliographic data for series maintained by Library & Information Manager ().