Monetary and fiscal policy switching with time-varying volatilities
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- 作者：Libo Xu ; Apostolos Serletis ; serletis@ucalgary.ca" class="auth_mail" title="E-mail the corresponding author ;
- 关键词：C22 ; C24 ; E42 ; E52 ; E62
- 刊名：Economics Letters
- 出版年：2016
- 出版时间：August 2016
- 年：2016
- 卷：145
- 期：Complete
- 页码：202-205
- 全文大小：446 K
文摘
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We extend the ongoing literature on regime change.
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We allow time variation in disturbance variances of regime-switching policy rules.
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We achieve superior modeling with quarterly US data.
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We find that passive monetary has stronger ARCH effects than active monetary policy.