Monetary Policy Regime Shifts and Inflation Persistence
The Review of Economics and Statistics
2014
Using Bayesian methods, we estimate a Markov-switching New Keynesian (MSNK) model that allows shifts in the monetary policy reaction coefficients and shock volatilities with U.S. data. We find that a more aggressive monetary policy regime was in place after the Volcker disinflation and before 1970 than during the Great Inflation of the 1970s. Our estimates also indicate that a low-volatility regime has been in place during most of the sample period after 1984. We connect the timing of the different regimes to a measure of inflation persistence.
- DOI
- 10.1162/rest_a_00415
- Volume
- 96 (5)
- Pages
- 862-875
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref