Time-varying yield curve dynamics and monetary policy

Time-Varying Monetary Policy Reaction Function: The Case of Iran

time-varying monetary policy reaction function: the case of iran

Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri (2005) and proposes a new algorithm that correctly applies the procedure proposed by Kim, Shephard, and Chib (1998) to the estimation of VAR or DSGE models with stochastic volatility. Relative to Primiceri (2005), the correct algorithm involves a different ordering of...

Modeling Monetary Policy Dynamics: A Comparison of Regime Switching and Time Varying Parameter Approaches

Structural VAR models have been widely used to model monetary policy dynamics. Typically, a choice is made between regime-switching models and time-varying parameter models. In this paper we use a canonical model of monetary policy and estimate both types of time variation in monetary policy while also allowing for changing variances. The models are compared using marginal likelihood and foreca...

Time-varying Policy Targets and Regime Switches in U.S. Monetary Policy

The central bank’s monetary policy targets are usually assumed to be constant overtime for simplicity when estimating a Taylor rule, but recent studies have shed some light on the time variation in policy targets, especially in the inflation target. The potential bias due to misspecification of the time variation can be quite considerable, especially in regime-swtiching models. In this paper, w...