Estimating Regime-Switching Taylor Rules with Trend In ation Efrem

  title={Estimating Regime-Switching Taylor Rules with Trend In ation Efrem},
  author={Efrem Castelnuovo and Luciano Greco and Davide Raggi},
This paper estimates regime-switching monetary policy rules featuring trend in‡ation over the post-WWII U.S. data. We …nd evidence in favor of regime shifts, time-variation of the in‡ation target, and a drop in the in‡ation gap persistence when entering the Great Moderation sample. Estimated Taylor rule parameters and regimes are robust across di¤erent monetary policy models. We propose an "internal consistency" test to discriminate among our estimated rules. Such test relies upon the reverse… CONTINUE READING


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