ARTÍCULO

Macroeconomic regimes

Autores: Baele, L.; Bekaert, G.; Cho, S.; Inghelbrecht, K.; Moreno Ibáñez, Antonio
Título de la revista: JOURNAL OF MONETARY ECONOMICS
ISSN: 0304-3932
Volumen: 70
Páginas: 51 - 71
Fecha de publicación: 2015
Resumen:
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.