Macroeconomic regimes

• 成果类型: Article
• 署名作者: Baele, Lieven; Bekaert, Geert; Cho, Seonghoon; Inghelbrecht, Koen; Moreno, Antonio
• 署名单位: Tilburg University; Columbia University; National Bureau of Economic Research; Yonsei University; HOGENT University College of Applied Sciences & Arts; University of Navarra
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.09.003
• 发表日期: 2015
• 页码: 51-71
• 关键词: Markov-switching (MS) DSGE models; Survey expectations; Great Moderation; monetary policy; Determinacy in MS DSGE models

摘要

A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and 1990, respectively. Monetary policy experiences multiple shifts with an important role in shaping macro-volatility. New estimates of the onset and demise of the Great Moderation are provided and the relative role played by macro-shocks and monetary policy is quantified. The estimated rational expectations model exhibits indeterminacy in the mean-square stability sense, mainly due to passive monetary policy. (C) 2014 Elsevier B.V. All rights reserved.