Regime switching and monetary policy measurement

• 成果类型: Article
• 署名作者: Owyang, MT; Ramey, G
• 署名单位: University of California System; University of California San Diego; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2004.01.004
• 发表日期: 2004
• 页码: 1577-1597
• 关键词: Markov switching; monetary policy; sacrifice ratio

摘要

This paper applies regime-switching methods to the problem of measuring monetary policy. Policy preferences and structural factors are specified parametrically as independent Markov processes. Interaction between the structural and preference parameters in the policy rule serves to identify the two processes. The estimates uncover policy episodes that are initiated by switches to dove regimes, shown to Granger-cause both NBER recessions and the Romer dates. These episodes imply real effects of monetary policy that are Smaller than those found in previous studies. (C) 2004 Elsevier B.V. All rights reserved.