Realized and Optimal Monetary Policy Rules in an Estimated Markov‐Switching DSGE Model of the United Kingdom

B-Tier
Journal: Journal of Money, Credit, and Banking
Year: 2012
Volume: 44
Issue: 6
Pages: 1091-1116

Authors (2)

XIAOSHAN CHEN (not in RePEc) RONALD MACDONALD (University of Glasgow)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper investigates underlying changes in the UK economy over the past 35 years using a small open economy dynamic stochastic general equilibrium model. Using Bayesian analysis, we find UK monetary policy, nominal price rigidity and exogenous shocks, are all subject to regime shifts. A model incorporating these changes is used to estimate the realized monetary policy and derive the optimal monetary policy rule for the United Kingdom. This allows us to assess the effectiveness of the realized policy in terms of stabilizing economic fluctuations, and, in turn, provide an indication of whether there is room for the monetary authorities to further improve their policies.

Technical Details

RePEc Handle
repec:wly:jmoncb:v:44:y:2012:i:6:p:1091-1116
Journal Field
Macro
Author Count
2
Added to Database
2026-01-25