Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model

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: Alba, Joseph Dennis, Wang, Peiming
Other Authors: School of Humanities and Social Sciences
Format: Article
Language:English
Published: 2016
Subjects:
Markov model
Taylor rule
Online Access:https://hdl.handle.net/10356/81213
http://hdl.handle.net/10220/41106
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Institution: Nanyang Technological University
Language: English
id sg-ntu-dr.10356-81213
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spelling sg-ntu-dr.10356-812132020-03-07T12:10:37Z Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model Alba, Joseph Dennis Wang, Peiming School of Humanities and Social Sciences Markov model Taylor rule 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. Accepted version 2016-08-05T08:27:21Z 2019-12-06T14:23:46Z 2016-08-05T08:27:21Z 2019-12-06T14:23:46Z 2016 2016 Journal Article Alba, J. D., & Wang, P. (2016). Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model. Macroeconomic Dynamics, in press. 1365-1005 https://hdl.handle.net/10356/81213 http://hdl.handle.net/10220/41106 10.1017/S1365100515000693 189146 en Macroeconomic Dynamics © 2016 Cambridge University Press. This is the author created version of a work that has been peer reviewed and accepted for publication by Macroeconomic Dynamics, Cambridge University Press. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1017/S1365100515000693]. 32 p. application/pdf
institution Nanyang Technological University
building NTU Library
country Singapore
collection DR-NTU
language English
topic Markov model
Taylor rule
spellingShingle Markov model
Taylor rule
Alba, Joseph Dennis
Wang, Peiming
Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model
description 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.
author2 School of Humanities and Social Sciences
author_facet School of Humanities and Social Sciences
Alba, Joseph Dennis
Wang, Peiming
format Article
author Alba, Joseph Dennis
Wang, Peiming
author_sort Alba, Joseph Dennis
title Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model
title_short Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model
title_full Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model
title_fullStr Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model
title_full_unstemmed Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model
title_sort taylor rule and discretionary regimes in the united states: evidence from a k-state markov switching model
publishDate 2016
url https://hdl.handle.net/10356/81213
http://hdl.handle.net/10220/41106
_version_ 1681040861770547200

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