Macroeconomic regimes

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

doi:10.1016/j.jmoneco.2014.09.003

Macroeconomic regimes

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

Department of Economics

Research output: Contribution to journal › Article › peer-review

32 Citations (Scopus)

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.

Original language	English
Pages (from-to)	51-71
Number of pages	21
Journal	Journal of Monetary Economics
Volume	70
DOIs	https://doi.org/10.1016/j.jmoneco.2014.09.003
Publication status	Published - 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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10.1016/j.jmoneco.2014.09.003

Cite this

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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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AU - Baele, Lieven

AU - Bekaert, Geert

AU - Cho, Seonghoon

AU - Inghelbrecht, Koen

AU - Moreno, Antonio

N1 - 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.

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AB - 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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Macroeconomic regimes

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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