Estimating Central Banks' preferences from a time-varying empirical reaction function

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Estimating the Taylor rule in the time-frequency domain (2018, methodology): “…methods, such as threshold models (Bunzel and Wenders, 2010), time-varying parameters models (Trecroci and Vassalli, 2010), Markov-switching models (Assenmacher-Wesche, 2006), smooth-transition models (Alcidi, Flamini and Fracasso, 2011), instrumental variables quantile regressions (Wolters,…”
Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? (2011, background): “…policy rules that occur on an unknown date: (i) regime switching models, in particular the state-dependent Markov switching models (Valente, 2003; Assenmacher-Wesche, 2006; Sims and Zha 2006) and (ii) statespace models, where the changes are characterized by smooth transitions rather than abrupt…”