Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model
We examine US monetary policies from 1973 to 2014 with the Taylor rule as a benchmark by utilizing a k-state Markov regime switching model in which the number and the periods of the regimes are endogenously determined. The model relates the federal funds rate with real time output gaps and inflation...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2016
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/81213 http://hdl.handle.net/10220/41106 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | We examine US monetary policies from 1973 to 2014 with the Taylor rule as a benchmark by utilizing a k-state Markov regime switching model in which the number and the periods of the regimes are endogenously determined. The model relates the federal funds rate with real time output gaps and inflation forecast. It endogenously identifies the periods of Taylor rule regime and discretionary regimes consistent with the US experience. The Taylor rule regime also coincides with periods of lower variability in inflation and in real GDP growth. |
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