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Events

Home Events
economics
2Jun

“Were there Regime Switches in Us Monetary Policy?” by Tao ZHA

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Authors:

  • Tao ZHA
    Federal Reserve Bank of Atlanta

  • Christopher A. SIMS
    Princeton University

 

A multivariate model, identifying monetary policy and allowing for simultaneity and regime switching in coefficients and variances, is confronted with US data since 1959. The best fit is with a model that allows time variation in structural disturbance variances only. Among models that allow for changes in equation coefficients also, the best fit is for a model that allows coefficients to change only in the monetary policy rule. That model allows switching among three main regimes and one rarely and briefly occurring regime. The three main regimes correspond roughly to periods when most observers believe that monetary policy actually differed, and the differences in policy behavior are substantively interesting, though statistically ill-determined. The estimates imply monetary targeting was central in the early 80’s, but also important sporadically in the 70’s. The changes in regime were essential neither to the rise in inflation in the 70’s nor to its decline in the 80’s.

"Evidence on Audit Committee and Firm Value: A Cross-sectional Analysis" by Joanne LI

Tuesday, 25 May 2004

"Two-Sided Learning and Optimal Open Economy Monetary Policy" by Timothy KAM

Thursday, 10 June 2004

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“Were there Regime Switches in Us Monetary Policy?” by Tao ZHA
Wednesday, 2 June 2004
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