American Economic Review
ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)
Were There Regime Switches in U.S. Monetary Policy?
American Economic Review
vol. 96,
no. 1, March 2006
(pp. 54–81)
Abstract
A multivariate regime-switching model for monetary policy is confronted with U.S. data. The best fit allows time variation in disturbance variances only. With coefficients allowed to change, the best fit is with change only in the monetary policy rule and there are three estimated regimes corresponding roughly to periods when most observers believe that monetary policy actually differed. But the differences among regimes are not large enough to account for the rise, then decline, in inflation of the 1970s and 1980s. Our estimates imply monetary targeting was central in the early 1980s, but also important sporadically in the 1970s.Citation
Sims, Christopher, A., and Tao Zha. 2006. "Were There Regime Switches in U.S. Monetary Policy?" American Economic Review, 96 (1): 54–81. DOI: 10.1257/000282806776157678Additional Materials
JEL Classification
- E31 Price Level; Inflation; Deflation
- E43 Interest Rates: Determination, Term Structure, and Effects
- E52 Monetary Policy