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- Title
TAYLOR RULE AND DISCRETIONARY REGIMES IN THE UNITED STATES: EVIDENCE FROM A k-STATE MARKOV REGIME-SWITCHING MODEL.
- Authors
Alba, Joseph D.; Wang, Peiming
- Abstract
We examine U.S. 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 to real time output gaps and inflation forecast. It endogenously identifies the periods of Taylor rule regime and discretionary regimes, consistent with the U.S. experience. The Taylor rule regime also coincides with periods of lower variability in inflation and in real GDP growth.
- Subjects
UNITED States; TAYLOR'S rule; MARKOV processes; KANSAS State University; GROSS domestic product; MONETARY policy
- Publication
Macroeconomic Dynamics, 2017, Vol 21, Issue 3, p817
- ISSN
1365-1005
- Publication type
Article
- DOI
10.1017/S1365100515000693