How stable are monetary policy rules: estimating the time-varying coefficients in monetary policy reaction function for the US

Monetary Policy Reaction Functions in Iran: An Extended Kalman Filter Approach

Estimates of instrumental rules can be utilized to describe central bank's behavior and monetary policy stance. In the last decade, considerable attention has been given to time-varying parameter (TVP) specification of monetary policy rules. Constant-parameter reaction functions likely ignore the impact of model uncertainty, shifting preferences and nonlinearities of policymaker's choices. This...

Threshold Effects in the Monetary Policy Reaction Function: Evidence from Central Bank of Iran

Determining how monetary policy makers react to changes in key economic variables has been of major interest to monetary economists. Estimates of monetary policy rules (reaction functions) are a widely used method for doing this. Behavior differs under different policy regimes, as in rule-based systems or chronic inflation. In practice, estimates of instrument rules have been used to descri...

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

Asymmetric Effects of Monetary Policy and Business Cycles in Iran using Markov-switching Models

This paper investigates the asymmetric effects of monetary policy on economic growth over business cycles in Iran. Estimating the models using the Hamilton (1989) Markov-switching model and by employing the data for 1960-2012, the results well identify two regimes characterized as expansion and recession. Moreover, the results show that an expansionary monetary policy has a positive and statist...

Estimating the Index of Monetary Policy Efficiency in a Selected Country: Pakistan

The ultimate goal of monetary policy is to achieve price stability and favorable economic growth through policy tools. The purpose of this paper is to determine the optimal monetary policy rule and measure and evaluate the effectiveness of monetary policy in an elected economy -Pakistan- with optimal control method. In this way, using Dyn‌amic Programming, monetary policy maker's loss function ...