Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/81213
Title: Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model
Authors: Alba, Joseph Dennis
Wang, Peiming
Keywords: Markov model
Taylor rule
Issue Date: 2016
Source: Alba, J. D., & Wang, P. (2016). Taylor rule and discretionary regimes in the United States: evidence from a k-state Markov switching model. Macroeconomic Dynamics, in press.
Series/Report no.: Macroeconomic Dynamics
Abstract: We examine US 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 with real time output gaps and inflation forecast. It endogenously identifies the periods of Taylor rule regime and discretionary regimes consistent with the US experience. The Taylor rule regime also coincides with periods of lower variability in inflation and in real GDP growth.
URI: https://hdl.handle.net/10356/81213
http://hdl.handle.net/10220/41106
ISSN: 1365-1005
DOI: 10.1017/S1365100515000693
Rights: © 2016 Cambridge University Press. This is the author created version of a work that has been peer reviewed and accepted for publication by Macroeconomic Dynamics, Cambridge University Press. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1017/S1365100515000693].
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:HSS Journal Articles

Files in This Item:
File Description SizeFormat 
14m401R.pdf317.92 kBAdobe PDFThumbnail
View/Open

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.