Monetary Policy Regime Shifts and Inflation Persistence

Author(s):  
Troy Davig ◽  
Taeyoung Doh
Author(s):  
Azamat Abdymomunov ◽  
Kyu Ho Kang

AbstractWe investigate how the entire term structure of interest rates is influenced by changes in monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy and price of risk. Our results for US data from 1985 through 2008 indicate that (


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