Monetary Policy Regime Shifts and Inflation Persistence

By Troy A. Davig, Tae-Yong Doh. Review of Economics and Statistics, 2009

127 citations recorded by the source corpus.

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Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, unknown): “…of structural breaks in the conduct of monetary policy, while Schorfheide (2005), Baele et al. (2015), Liu et al. (2011), Bianchi (2013) and Davig and Doh (2014) estimate MSDSGE models.4 We show that the MS-DSGE setup can also accommodate uncertainty averse agents’ responses to volatility…”
Escaping the Great Recession (2017, unknown): “(2013), and is related to the growing literature that allows for parameter instability in DSGE models (e.g., Justiniano and Primiceri 2008; Davig and Doh 2008; and Fernandez-Villaverde, Guerron-Quintana and Rubio-Ramirez 2010).”
Perturbation Methods for Markov-Switching DSGE Models (2014, background): “This nonlinearity has proven to be important in explaining shifts in monetary policy and macroeconomic time series (Schorfheide (2005), Davig and Doh (2008), Liu, Waggoner, and Zha (2011), and Bianchi (2010)) and in modeling the expected effects of future fiscal policy changes (Davig, Leeper, and…”