Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions

Martin Mandler

MPRA Paper from University Library of Munich, Germany

Abstract: This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy while the inflation response is negative. The paper endogenously determines two distinct regimes, while the literature thus far only considers alternative subsamples.

Keywords: monetary policy shocks; threshold vector autoregression (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 (search for similar items in EconPapers)
Date: 2010-03
New Economics Papers: this item is included in nep-cba and nep-mac
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https://mpra.ub.uni-muenchen.de/21347/1/MPRA_paper_21347.pdf revised version (application/pdf)

Related works:
Working Paper: Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21215

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