Estimating a Taylor Rule with Markov Switching Regimes for Switzerland

Artikel

In this paper a Taylor rule including the exchange rate gap is estimated for Switzerland under the assumption that the parameters depend on two states governed by a Markov switching process. The estimates suggest the presence of an ordinary and an aggressive regime. The former is characterized by a high degree of interest rate smoothing and by significant reactions to inflation and the output gap. The aggressive regime shows much less smoothing, an aggressive reaction to inflation, and a large coefficient on the exchange rate gap. Furthermore, an asymmetry in the occurrence of the two regimes is found.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 145 ; Year: 2009 ; Issue: 2 ; Pages: 187-220 ; Heidelberg: Springer

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Monetary Policy ; Central Banks and Their Policies
• Subject: Taylor rule ; Markov switching ; Non-constant transition probabilities ; Maximum likelihood ; EM algorithm

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Perruchoud, Alexander
• Event: Veröffentlichung
• (who): Springer
• (where): Heidelberg
• (when): 2009

Further information

• DOI: doi:10.1007/BF03399280
• Handle: http://hdl.handle.net/10419/185914
• Last update: 10.03.2025, 11:45 AM CET