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

• 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
• Institution: Nanyang Technological University

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...