Corpus ID: 159226765

Estimating a Markov Switching DSGE Model with Macroeconomic Policy Interaction

@inproceedings{Abe2019EstimatingAM,
  title={Estimating a Markov Switching DSGE Model with Macroeconomic Policy Interaction},
  author={Nobuhiro Abe and T. Fueki and Sohei Kaihatsu},
  year={2019}
}
This paper estimates a Markov switching dynamic stochastic general equilibrium model (MS-DSGE) allowing for changes in monetary/fiscal policy interaction. The key feature of the model is that it seeks to quantitatively examine the impact of changes in monetary/fiscal policy interaction on economic outcomes even during a period when the ZLB is binding and unconventional monetary policy is implemented. To this end, we estimate our model using the shadow interest rate, which can be interpreted as… Expand
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