scholarly journals Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model

2002 ◽  
Author(s):  
Jeremy M. Piger ◽  
Ming Chien Lo
Keyword(s):  
Monetary Policy ◽  
Regime Switching

scholarly journals Exiting from quantitative easing

2019 ◽  
Vol 10 (3) ◽  
pp. 1069-1107 ◽  
Author(s):  
Fumio Hayashi ◽  
Junko Koeda
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Economic Conditions ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Policy Regime ◽  
State Of The Economy ◽  
Macroeconomic Effects ◽  
Structural Vector ◽  
Empirical Framework

We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regime‐switching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at the point of exit.

Regime-switching approach to monetary policy effects

2005 ◽  
Vol 37 (3) ◽  
pp. 307-326 ◽  
Author(s):  
Munehisa Kasuya
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Policy Effects

Generalizing the Taylor Principle: Reply

2010 ◽  
Vol 100 (1) ◽  
pp. 618-624 ◽  
Author(s):  
Troy Davig ◽  
Eric M Leeper
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Multiple Solutions ◽  
New Keynesian ◽  
New Keynesian Model ◽  
Keynesian Model ◽  
The One

Farmer, Waggoner, and Zha (2009) (FWZ) show that a new Keynesian model with regime-switching monetary policy can support multiple solutions, appearing to contradict findings in Davig and Leeper (2007) (DL). The explanation is straightforward: FWZ derive solutions using a model that differs from the one to which the DL conditions apply. The FWZ solutions also require that the exogenous driving process is a function of private and policy parameters. This undermines the sharp distinctions among “deep parameters” typical of optimizing models and makes it difficult to ascribe economic interpretations to FWZ's additional solutions. (E12, E31, E43, E52)

A regime-switching approach to estimating the nonlinear quantity-based monetary policy rule in China

2016 ◽  
Vol 24 (2) ◽  
pp. 132-135
Author(s):  
Xu Zhang ◽  
Xiaoxing Liu ◽  
Jianqin Hang ◽  
Dengbao Yao
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Policy Rule ◽  
Monetary Policy Rule

scholarly journals Identifying conventional and unconventional monetary policy shocks: a latent threshold approach

2016 ◽  
Vol 16 (1) ◽  
Author(s):  
Takeshi Kimura ◽  
Jouchi Nakajima
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Regime Switching ◽  
Structural Var ◽  
Var Model ◽  
Recursive Identification ◽  
Time Varying ◽  
Unconventional Monetary Policy ◽  
Monetary Policy Shocks ◽  
Policy Shocks

AbstractThis paper proposes a new estimation framework for identifying monetary policy shocks in both conventional and unconventional policy regimes using a structural VAR model. Exploiting a latent threshold modeling strategy that induces time-varying shrinkage of the parameters, we explore a recursive identification switching with a time-varying overidentification for the interest rate zero lower bound. We empirically analyze Japan’s monetary policy to illustrate the proposed approach for modeling regime-switching between conventional and unconventional monetary policy periods, and find that the proposed model is preferred over a nested standard time-varying parameter VAR model. The estimation results show that increasing bank reserves lowers long-term interest rates in the unconventional policy periods, and that the impulse responses of inflation and the output gap to a bank reserve shock appear to be positive but highly uncertain.

scholarly journals Asset prices regime-switching and the role of inflation targeting monetary policy

2017 ◽  
Vol 32 ◽  
pp. 97-112 ◽  
Author(s):  
Ioannis Chatziantoniou ◽  
George Filis ◽  
Christos Floros
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Asset Prices ◽  
Inflation Targeting

Estimating forward-looking rules for China's Monetary Policy: A regime-switching perspective

2012 ◽  
Vol 23 (1) ◽  
pp. 47-59 ◽  
Author(s):  
Tingguo ZHENG ◽  
Xia WANG ◽  
Huiming GUO
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Forward Looking

TIME VARIATION OR ASYMMETRY? THE INFLATION AND INFLATION UNCERTAINTY NEXUS: A CASE OF CHINA

2020 ◽  
pp. 1-23
Author(s):  
XUE GAO ◽  
YIXIN REN ◽  
XIN LI
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Time Varying ◽  
Inflation Uncertainty ◽  
Causality Test ◽  
Nobel Lecture ◽  
Conditional Mean ◽  
Rolling Window ◽  
High Inflation ◽  
Quantile Causality

This investigation tests the dynamic and quantile causality between inflation and inflation uncertainty of China with constructing a rolling-window based quantile causality test. The result shows unidirectional causality from inflation to inflation uncertainty, which is significantly asymmetric and time-varying. Inflation more likely causes inflation uncertainty in higher quantiles, indicating the linear model based on conditional mean may overestimate this impact in a lower quantile interval. Furthermore, the influence also exhibits a consistent time-varying property that cannot be explained simply by the conditional distribution. The causality shows more significance since 2007 when China cancelled the mandatory settlement system, which led to the increase of monetary policy independence. The time-varying nature indicates institutional changes may lead to regime switching of this causality. Our result supports the Friedman–Ball hypothesis [ Friedman, M ( 1977 ). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85(3), 451–472; Ball, L ( 1992 ). Why does high inflation raise inflation uncertainty? Journal of Monetary Economic, 29(3), 371–388] to a certain extent and implies that the purpose of controlling inflation uncertainty of China can be achieved by controlling inflation if and only if it is relatively high on the premise of the independence of monetary policy.

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