Were there Regime Switches in U.S. Monetary Policy

By Christopher A. Sims, Tao Zha. 2005

208 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/a668a075d2b449b3818fb2827164f00a037611a2

Citations in the corpus

• A MIDAS Approach to Modeling First and Second Moment Dynamics (2016, unknown): “Priors for the hyperparameters are often based on sample estimates, see Stock and Watson (2006) and Efron (2010).”
• Sticky information and model uncertainty in survey data on inflation expectations (2007, unknown): “One (potential) concern is that because of the great moderation – and other structural changes after 1960 as pointed out by Sims and Zha (2005) – inflation is not stationary and our VAR forecasting model may under predict inflation in the early years and over predict in later years.”
• Estimating Macroeconomic Models: A Likelihood Approach (2007, unknown): “Our first step is to factor the likelihood as: p ¡YT ; γ¢ = TY t=1 p ¡Yt|Y t−1; γ¢ = TY t=1 Z Z p ¡Yt|W t1, S0,Yt−1; γ¢ p ¡W t1, S0|Yt−1; γ¢ dW t1dS0, (4) where S0 is the initial state of the model, the p’s represent the relevant densities, and where in the case {W1t} has zero dimensions R R p (Yt|W”
• Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, unknown): “…general pattern of deterioration in these performance measures may be associated with shifts in monetary policy in the late 1980s (see, inter alia, Sims and Zha, 2006; and Thornton, 2006, 2010 and the references therein), which generated a greater persistence in the Fed s target and induced less…”
• Methods for Inference in Large Multiple-Equation Markov-Switching Models (2008, unknown): “The methodology developed thus far has been used by Rubio-Ramírez, Waggoner, and Zha (2006) and Sims and Zha (2006) to study a class of simultaneous-equation multivariate dynamic models that are commonly used for policy analysis.”
• Regime Changes and Financial Markets (2012, unknown): “Other regimes identified in interest rates correspond to the tenure of different Federal Reserve Chairs (see, for example, Sims and Zha, 2006).”
• Macroeconomics and Volatility: Data, Models, and Estimation (2010, unknown): “A few years later, and in response to the previous work, Sims and Zha (2006) estimated a structural vector autoregression (SVAR) with Markov regime switching both in the autoregressive coe¢ cients and in the variances of the disturbances.”
• Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics (2013, unknown): “In this respect, the results corroborate the view of Sims and Zha (2006) that monetary policy regime changes are better modeled as stochastic and reversible.”
• Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2010, unknown): “When time-varying SVARs are studied (Canova and Gambetti, 2004; Cogley and Sargent, 2005; Primiceri, 2005; Sims and Zha, 2006b ), the traditional approach is practically infeasible because the system of nonlinear equations would have to be solved for each possible state of the structural parameters”
• Bayesian nonparametric vector autoregressive models (2018, unknown): “Literature on these models has subsequently grown, see e.g. Hansen (1992), Chib (1996), Chauvet (1998), Kim and Nelson (1999), Kim et al. (2005), and Sims and Zha (2006).”
• Structural changes in the US economy: Is there a role for monetary policy? (2009, unknown): “As in Sims and Zha (2006), we find that the median of the distribution is higher, on average, before 1985 than afterward.”
• The systematic component of monetary policy in SVARs: An agnostic identification procedure (2015, unknown): “Following Leeper, Sims, and Zha (1996); Leeper and Zha (2003); and Sims and Zha (2006a), a corollary to our findings is that the shocks identified in Uhlig (2005) are not monetary policy shocks because the systematic component of monetary policy is counterfactual and thus does not correctly control…”
• The Impact of the Volatility of Monetary Policy Shocks (2013, unknown): “Studies that do allow for time-varying shock volatility (see, e.g., Primiceri 2005, Sims and Zha 2006) do not incorporate a direct impact of the shock variance on the endogenous variables.”
• Minimal State Variable Solutions to Markov-switching Rational Expectations Models (2011, unknown): “Sims and Zha (2006), on the other hand, find no evidence in favor of indeterminacy when they allow monetary policy to switch regimes stochastically.”