Inflation-regime dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions

We use a threshold vector autoregression to study the effects of monetary policy shocks on the US. Depending on the level of inflation we note important regime dependence in the inflation response to monetary policy shocks.

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Year of publication:	2012
Authors:	Mandler, Martin
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 422-425
Publisher:	Elsevier
Subject:	Monetary policy shocks \| Threshold vector autoregression \| Regime switching \| Inflation

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Type of publication:	Article
Classification:	E31 - Price Level; Inflation; Deflation ; E37 - Forecasting and Simulation ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594197