Macroeconomic regimes
A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A 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...
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| Veröffentlicht in: | Journal of monetary economics 2015-03, Vol.70, p.51-71 |
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| container_end_page | 71 |
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| container_title | Journal of monetary economics |
| container_volume | 70 |
| creator | Baele, Lieven Bekaert, Geert Cho, Seonghoon Inghelbrecht, Koen Moreno, Antonio |
| description | A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A 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. Monetary policy experiences multiple shifts with an important role in shaping macro-volatility. New estimates of the onset and demise of the Great Moderation are provided and the relative role played by macro-shocks and monetary policy is quantified. The estimated rational expectations model exhibits indeterminacy in the mean-square stability sense, mainly due to passive monetary policy.
•A Markov-switching New-Keynesian macro-model is estimated with survey expectations.•Macro-shocks and systematic monetary policy all exhibit potential regime changes.•We provide new estimates of the onset and end of the Great Moderation.•Monetary policy is stabilizing after 1980, but with some accommodating spells.•The estimated model implies indeterminacy mainly due to passive monetary policy spells. |
| doi_str_mv | 10.1016/j.jmoneco.2014.09.003 |
| format | Article |
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•A Markov-switching New-Keynesian macro-model is estimated with survey expectations.•Macro-shocks and systematic monetary policy all exhibit potential regime changes.•We provide new estimates of the onset and end of the Great Moderation.•Monetary policy is stabilizing after 1980, but with some accommodating spells.•The estimated model implies indeterminacy mainly due to passive monetary policy spells.</description><identifier>ISSN: 0304-3932</identifier><identifier>EISSN: 1873-1295</identifier><identifier>DOI: 10.1016/j.jmoneco.2014.09.003</identifier><identifier>CODEN: JMOEDW</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Determinacy in MS DSGE models ; Economic analysis ; Economic models ; Economic theory ; Great Moderation ; Inflation ; Keynesian theory ; Keynesianism ; Macroeconomics ; Markov-switching (MS) DSGE models ; Monetary economics ; Monetary policy ; Output ; Studies ; Survey expectations ; Volatility</subject><ispartof>Journal of monetary economics, 2015-03, Vol.70, p.51-71</ispartof><rights>2014 Elsevier B.V.</rights><rights>Copyright Elsevier Sequoia S.A. Mar 2015</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c448t-e18f91e7bc431084bce3dfdf4125c675b0512badff39fcd6c4317f88e44a8cbd3</citedby><cites>FETCH-LOGICAL-c448t-e18f91e7bc431084bce3dfdf4125c675b0512badff39fcd6c4317f88e44a8cbd3</cites><orcidid>0000-0002-8824-168X</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jmoneco.2014.09.003$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,27924,27925,45995</link.rule.ids></links><search><creatorcontrib>Baele, Lieven</creatorcontrib><creatorcontrib>Bekaert, Geert</creatorcontrib><creatorcontrib>Cho, Seonghoon</creatorcontrib><creatorcontrib>Inghelbrecht, Koen</creatorcontrib><creatorcontrib>Moreno, Antonio</creatorcontrib><title>Macroeconomic regimes</title><title>Journal of monetary economics</title><description>A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A 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. Monetary policy experiences multiple shifts with an important role in shaping macro-volatility. New estimates of the onset and demise of the Great Moderation are provided and the relative role played by macro-shocks and monetary policy is quantified. The estimated rational expectations model exhibits indeterminacy in the mean-square stability sense, mainly due to passive monetary policy.
•A Markov-switching New-Keynesian macro-model is estimated with survey expectations.•Macro-shocks and systematic monetary policy all exhibit potential regime changes.•We provide new estimates of the onset and end of the Great Moderation.•Monetary policy is stabilizing after 1980, but with some accommodating spells.•The estimated model implies indeterminacy mainly due to passive monetary policy spells.</description><subject>Determinacy in MS DSGE models</subject><subject>Economic analysis</subject><subject>Economic models</subject><subject>Economic theory</subject><subject>Great Moderation</subject><subject>Inflation</subject><subject>Keynesian theory</subject><subject>Keynesianism</subject><subject>Macroeconomics</subject><subject>Markov-switching (MS) DSGE models</subject><subject>Monetary economics</subject><subject>Monetary policy</subject><subject>Output</subject><subject>Studies</subject><subject>Survey expectations</subject><subject>Volatility</subject><issn>0304-3932</issn><issn>1873-1295</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2015</creationdate><recordtype>article</recordtype><recordid>eNqFkL9PwzAQhS0EEqUwMiIhsbAk3MV2Yk8IIX5JRSwwW4lzRo6auNgtEv89rtqJhemW7z3d-xi7QCgRsL4ZymEME9lQVoCiBF0C8AM2Q9XwAistD9kMOIiCa14ds5OUBgBA3dQzdv7a2hhydgqjt5eRPv1I6ZQduXaZ6Gx_5-zj8eH9_rlYvD293N8tCiuEWheEymmkprOCIyjRWeK9653AStq6kR1IrLq2d45rZ_t6izVOKRKiVbbr-Zxd73pXMXxtKK3N6JOl5bKdKGySwbqpQWmhdEav_qBD2MQpf5epWsqGo1SZkjsqj0opkjOr6Mc2_hgEs5VlBrOXZbayDGiTZeXc7S5Hee23p2iS9TRZ6n0kuzZ98P80_AKP9HPH</recordid><startdate>20150301</startdate><enddate>20150301</enddate><creator>Baele, Lieven</creator><creator>Bekaert, Geert</creator><creator>Cho, Seonghoon</creator><creator>Inghelbrecht, Koen</creator><creator>Moreno, Antonio</creator><general>Elsevier B.V</general><general>Elsevier Sequoia S.A</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><orcidid>https://orcid.org/0000-0002-8824-168X</orcidid></search><sort><creationdate>20150301</creationdate><title>Macroeconomic regimes</title><author>Baele, Lieven ; Bekaert, Geert ; Cho, Seonghoon ; Inghelbrecht, Koen ; Moreno, Antonio</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c448t-e18f91e7bc431084bce3dfdf4125c675b0512badff39fcd6c4317f88e44a8cbd3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2015</creationdate><topic>Determinacy in MS DSGE models</topic><topic>Economic analysis</topic><topic>Economic models</topic><topic>Economic theory</topic><topic>Great Moderation</topic><topic>Inflation</topic><topic>Keynesian theory</topic><topic>Keynesianism</topic><topic>Macroeconomics</topic><topic>Markov-switching (MS) DSGE models</topic><topic>Monetary economics</topic><topic>Monetary policy</topic><topic>Output</topic><topic>Studies</topic><topic>Survey expectations</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Baele, Lieven</creatorcontrib><creatorcontrib>Bekaert, Geert</creatorcontrib><creatorcontrib>Cho, Seonghoon</creatorcontrib><creatorcontrib>Inghelbrecht, Koen</creatorcontrib><creatorcontrib>Moreno, Antonio</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of monetary economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Baele, Lieven</au><au>Bekaert, Geert</au><au>Cho, Seonghoon</au><au>Inghelbrecht, Koen</au><au>Moreno, Antonio</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Macroeconomic regimes</atitle><jtitle>Journal of monetary economics</jtitle><date>2015-03-01</date><risdate>2015</risdate><volume>70</volume><spage>51</spage><epage>71</epage><pages>51-71</pages><issn>0304-3932</issn><eissn>1873-1295</eissn><coden>JMOEDW</coden><abstract>A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A 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. Monetary policy experiences multiple shifts with an important role in shaping macro-volatility. New estimates of the onset and demise of the Great Moderation are provided and the relative role played by macro-shocks and monetary policy is quantified. The estimated rational expectations model exhibits indeterminacy in the mean-square stability sense, mainly due to passive monetary policy.
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| language | eng |
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| subjects | Determinacy in MS DSGE models Economic analysis Economic models Economic theory Great Moderation Inflation Keynesian theory Keynesianism Macroeconomics Markov-switching (MS) DSGE models Monetary economics Monetary policy Output Studies Survey expectations Volatility |
| title | Macroeconomic regimes |
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