MONETARY POLICY REGIME SHIFTS AND INFLATION PERSISTENCE

• 成果类型: Article
• 署名作者: Davig, Troy; Doh, Taeyoung
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Kansas City
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00415
• 发表日期: 2014-12
• 页码: 862-875
• 关键词: us inflation; switches

摘要

Using Bayesian methods, we estimate a Markov-switching New Keynesian (MSNK) model that allows shifts in the monetary policy reaction coefficients and shock volatilities with U. S. data. We find that a more aggressive monetary policy regime was in place after the Volcker disinflation and before 1970 than during the Great Inflation of the 1970s. Our estimates also indicate that a low-volatility regime has been in place during most of the sample period after 1984. We connect the timing of the different regimes to a measure of inflation persistence.