| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17090 |
| 来源ID | Working Paper 17090 |
| Macroeconomic Regimes | |
| Lieven Baele; Geert Bekaert; Seonghoon Cho; Koen Inghelbrecht; Antonio Moreno | |
| 发表日期 | 2011-05-26 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. We identify accommodating monetary policy before 1980, with activist monetary policy prevailing most but not 100% of the time thereafter. Systematic monetary policy switched to the activist regime in the 2000-2005 period through an aggressive lowering of interest rates. Discretionary policy spells became less frequent since 1985, but the Volcker period is identified as a discretionary period. Output shocks shift to the low volatility regime around 1985 whereas inflation shocks do so only around 1990, suggesting active monetary policy may have played role in anchoring inflation expectations. Shocks and policy regimes jointly drive the volatility of the macro variables. We provide new estimates of the onset and demise of the Great Moderation and the relative role played by macro-shocks and monetary policy. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Monetary Policy |
| URL | https://www.nber.org/papers/w17090 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574765 |
| 推荐引用方式 GB/T 7714 | Lieven Baele,Geert Bekaert,Seonghoon Cho,et al. Macroeconomic Regimes. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17090.pdf（372KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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