Macroeconomic regimes

Lieven Baele, Geert Bekaert, Seonghoon Cho, Koen Inghelbrecht, Antonio Moreno

Research output: Contribution to journalArticlepeer-review

32 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)51-71
Number of pages21
JournalJournal of Monetary Economics
Publication statusPublished - 2015 Mar 1

Bibliographical note

Funding Information:
Antonio Moreno gratefully acknowledges funding from the Spanish Ministery of Economy and Competitiveness (ECO2012-34595) and from the Fundación Ramón Areces program in Social Sciences.

Publisher Copyright:
© 2014 Elsevier B.V.

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


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