Working Paper No. 99-6 Exchange Rates, Monetary Policy Regimes, and Beliefs
نویسنده
چکیده
We investigate an international monetary business-cycle model in which agents face monetary policy processes that incorporate regime shifts. In any given period agents cannot directly observe the policy regime, but instead form beliefs that are updated via Bayesian learning. As a result, expectation adjustment displays inertia that adds persistence to the e®ects of monetary shocks. Monetary policy process for the U.S. and an aggregate of OECD countries are estimated using Hamilton's Markov-switching model. We then solve and calibrate a version of the model and examine its quantitative properties.
منابع مشابه
The Impact of Exchange Rate Volatility and Inflationary Regimes on the Consumer Price Index in Organization of Islamic Countries (Panel FMOLS Co-integration Approach)
Aguerre, R.B., Fuertes, A. M. and Phylaktis, K. (2012), "Exchange Rate Pass-through into Import Prices Revisited", Journal of International Money, 31: 818-844. Bailliu, J. & Fujii, E. (2004). "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation", Bank of Canada Working Paper No. 21. Carlsson, M., Lyhagen, J., and Österholm, P. (2007)...
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