Regime-switching monetary policy in Canada

Journal of Macroeconomics - Tập 32 - Trang 782-796 - 2010
Ronald H. Lange1
1Economics Department Laurentian University Sudbury, Ontario, Canada P3E 2C6

Tài liệu tham khảo

Ang, 2002, Short rate nonlinearities and regime switches, Journal of Economic Dynamics and Control, 26, 1243, 10.1016/S0165-1889(01)00042-2 Ang, 2002, Regime switches in interest rates, Journal of Business and Economics, 20, 163 Ang, A., Bekaert, G., Wei, M., 2007. The term structure of real rates and expected inflation. National Bureau of Economic Research Working Paper No. 12930. Armour, J., Engert, W., Fung, B., 1996. Overnight Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions. Bank of Canada, Working Paper 96-4. Bansal, 2002, Term structure of interest rates with regime shifts, Journal of Finance, 57, 1997, 10.1111/0022-1082.00487 Bekaert, 2001, Peso problem explanations for term structure anomalies, Journal of Monetary Economics, 48, 241, 10.1016/S0304-3932(01)00075-7 Bernanke, 1997, What does the Bundesbank target?, European Economic Review, 41, 1025, 10.1016/S0014-2921(96)00056-6 Bernanke, 1998, Measuring monetary policy, Quarterly Journal of Economics, 113, 869, 10.1162/003355398555775 Chen, 2001, Inflation, real short-term interest rates, and the term structure of interest rates: A regime-switching approach, Applied Economics, 33, 393, 10.1080/00036840122884 Clarida, 2000, Optimal monetary policy in open vs. closed economies: An integrated approach, American Economic Review, Papers, and Proceedings, 91, 248, 10.1257/aer.91.2.248 Clarida, 2006, The role of asymmetries and regime shifts in the term structure of interest rates, Journal of Business, 79, 1193, 10.1086/500674 Clinton, 1995, The term structure of interest rates as a leading indicator economic activity: A technical note, Bank of Canada Review Winter, 23 Cogley, T., Sargent, T., 2001. Evolving US Post-world war II Inflation Dynamics. NBER Macroeconomics Annual. Cushman, 1997, Identifying monetary policy in a small open economy under flexible exchange rates, Journal of Monetary Economics, 39, 433, 10.1016/S0304-3932(97)00029-9 Dueker, 1996, Interest targeting in a small open economy: Empirical results for Switzerland, Journal of Monetary Economics, 37, 89, 10.1016/0304-3932(95)01241-9 Feedman, C., 1994. The use of indicators and of the monetary conditions index in Canada. In: Tomas Balino, Carlo Cottarelli (Eds.), Frameworks for Monetary Stability: Policy Issues and Country Experiences. International Monetary Fund. Fung, B.,Yuan, M., 1999. Measuring the stance of monetary policy. In: Money, Monetary Policy, and Transmissions Mechanisms, Proceedings of a Conference held by the Bank of Canada, pp. 233–262. Gray, 1996, Modelling the conditional distribution of interest rates as a regime-switching process, Journal of Financial Economics, 42, 27, 10.1016/0304-405X(96)00875-6 Hamilton, 1988, Rational expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates, Journal of Economic Dynamics and Control, 12, 385, 10.1016/0165-1889(88)90047-4 Hamilton, 1989, A new approach to the econometric analysis of nonstationary times series and business cycles, Econometrica, 57, 357, 10.2307/1912559 Hamilton, 1990, Analysis of time series subject to a change in regime, Journal of Econometrics XLV, 39, 10.1016/0304-4076(90)90093-9 Hansen, 2001, Varying monetary policy regimes: A vector autoregressive investigation, Journal of Business and Economics, 58, 407, 10.1016/j.jeconbus.2006.06.003 Kim, 2000, Exchange rate anomalies in the industrial economies: A solution with a structural VAR approach, Journal of Monetary Economics, 45, 561, 10.1016/S0304-3932(00)00010-6 Kozicki, S., 1999. discussion. In: Money, Monetary Policy, and Transmissions Mechanisms, Proceedings of a Conference held by the Bank of Canada, pp. 263–270. Lange, 2010, Sources of regime-switching in short-term interest rates for Canada, Applied Economics, 42, 439, 10.1080/00036840701630078 Leeper, 2003, Modest policy interventions, Journal of Monetary Economics, 50, 1673, 10.1016/j.jmoneco.2003.01.002 Rudebusch, 1998, Do measures of monetary policy in a VAR make sense?, International Economic Review, 39, 907, 10.2307/2527344 Sarno, L., Thornton, D., Valente, G., 2005. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. Centre for Economic Policy Research, Discussion Paper No. 5259. Sims, 1992, Interpreting the macroeconomic time series facts: The effects of monetary policy, European Economic Review, 36, 975, 10.1016/0014-2921(92)90041-T Sims, C., 1999. Drifts and Breaks in Monetary Policy. Princeton University Mimeo. <http://www.princeton.edu/∼sims/>. Sims, 1999, Error bands for impulse responses, Econometrica, 67, 1113, 10.1111/1468-0262.00071 Sims, C., Zha, T., 2009. Were there regime switches in US monetary policy? <http://sims.princeton.edu/yftp/Switching/FinalSZ_AER.pdf>. Smets, F., 1999. Discussion. In: Money, Monetary Policy, and Transmissions Mechanisms, Proceedings by the Bank of Canada, pp. 271–77. Valente, 2003, Monetary policy rules and regime shifts, Applied Financial Economics, 13, 525, 10.1080/0960310021000025001