Castelnuovo, Efrem
[VerfasserIn]
;
Greco, Luciano G.
[Sonstige Person, Familie und Körperschaft];
Raggi, Davide
[Sonstige Person, Familie und Körperschaft]
Policy Rules, Regime Switches, and Trend Inflation
: An Empirical Investigation for the U.S
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 22, 2010 erstellt
Beschreibung:
This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks' volatility, and time-varying trend inflation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-fit and identification of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks' volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and inflation gap persistence