Arbeitspapier
Estimating regime-switching Taylor rules with trend inflation
This paper estimates regime-switching monetary policy rules featuring trend inflation using post-WWII US data. We find evidence in favour of regime shifts and time-variation of the inflation target. We also find a drop in the inflation gap persistence when entering the Great Moderation sample. Estimated Taylor rule parameters and regimes are robust across different monetary policy models. We propose an `internal consistency' test to discriminate among our estimated rules. Such a test relies upon a feedback mechanism running from the monetary policy stance to the inflation gap. Our results support the stochastic autoregressive process as the most consistent model for trend inflation, above all when conditioning to the post-1985 subsample.
- ISBN
-
978-952-462-457-2
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 20/2008
- Klassifikation
-
Wirtschaft
Monetary Policy
Policy Objectives; Policy Designs and Consistency; Policy Coordination
Fiscal Policy
- Thema
-
active and passive Taylor rules
trend inflation
inflation gap persistence
Markov-switching models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Castelnuovo, Efrem
Greco, Luciano
Raggi, Davide
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Castelnuovo, Efrem
- Greco, Luciano
- Raggi, Davide
- Bank of Finland
Entstanden
- 2008
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