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Download the Paper (277 K, PDF file) - January 1, 2001 Tell a colleague about it. Printing Tips: Select 'print as image' in the Acrobat print dialog if you have trouble printing.

ABSTRACT:
This paper applies regime switching methods to the problem of measuring monetary policy. Policy preferences and structural factors are specified parametrically as independent Markov processes. Interaction between the structural and preference parameters in the policy rule serves to identify the two processes. The estimates uncover policy episodes that are initiated by switches of "dove regimes," shown to Granger cause both NBER recessions and the Romer dates. These episodes imply real effects of monetary policy that are smaller than those found in previous studies.

SUGGESTED CITATION:
Michael T. Owyang and Garey Ramey, "Regime Switching and Monetary Policy Measurement" (January 1, 2001). Department of Economics, UCSD. Paper 2001-03.
http://repositories.cdlib.org/ucsdecon/2001-03