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Macroeconomic Regimes

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2011 Netherlands, Belgium, Spain English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Lieven Baele; Geert Bekaert; Seonghoon Cho; Koen Inghelbrecht; Antonio Moreno;

doi: 10.2139/ssrn.1919588 , 10.2139/ssrn.1845483 , 10.1016/j.jmoneco.2014.09.003

handle: 10171/23038 , 1854/LU-2062349 , 1854/LU-5707598

Macroeconomic Regimes

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Abstract

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. Output and inflation shocks shift to the low volatility regime around 1985 and 1990, respectively. However, we also identify multiple shifts between accommodating and active monetary policy regimes, which play an as important role as shock volatility in driving the volatility of the macro variables. We provide new estimates of the onset and demise of the Great Moderation and quantify the relative role played by macro-shocks and monetary policy. The estimated rational expectations model exhibits indeterminacy in the mean square stability sense, mainly because monetary policy is excessively passive.

Countries

Netherlands, Belgium, Spain

Related Organizations

King’s University
United States
Yonsei University
Korea (Republic of)
Ghent University
Belgium
Tilburg University
Netherlands
University of Navarra
Spain

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Keywords

Phillips Curve, monetary policy, UNITED-STATES, RATIONAL-EXPECTATIONS MODELS, Monetary Policy, Business and Economics, New-Keynesian Models, Monetary policy, SDG 17 - Partnerships for the Goals, determinacy in MS DSGE models, TERM STRUCTURE, Regime-Switching, Markov-Switching (MS) DSGE models, Survey Expectations, Great Moderation, Monetary Policy, Determinacy in MS DSGE models, STABILITY, DSGE APPROACH, :Economía y Empresa [Materias Investigacion], Materias Investigacion::Economía y Empresa, Survey expectations, TAYLOR PRINCIPLE, great moderation, Determinacy in MS DSGE models, FLUCTUATIONS, US MONETARY-POLICY, BUSINESS-CYCLE, Markov-switching (MS) DSGE models, INFLATION DYNAMICS, Macroeconomic Volatility, Determinacy, survey expectations, Survey Expectations, Great Moderation, jel: jel:C42, jel: jel:C53, jel: jel:E32, jel: jel:E52, jel: jel:E31, jel: jel:E58

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	50
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 10%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%