Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/12230
Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Realized and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom
Authors: Chen, Xiaoshan
MacDonald, Ronald
Contact Email: xiaoshan.chen@stir.ac.uk
Keywords: Markov-switching
Bayesian analysis
DSGE models
Issue Date: Sep-2012
Publisher: Wiley-Blackwell for the Ohio State University
Citation: Chen X & MacDonald R (2012) Realized and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom, Journal of Money, Credit and Banking, 44 (6), pp. 1091-1116.
Abstract: This paper investigates underlying changes in the UK economy over the past thirty-five years using a small open economy DSGE model. Using Bayesian analysis, wefind UK monetary policy, nominal price rigidity and exogenous shocks, are all subject to regime shifting. A model incorporating these changes is used to estimate the realised monetary policy and derive the optimal monetary policy for the UK. This allows us to assess the effectiveness of the realised policy in terms of stabilising economic fluctuations, and, in turn, provide an indication of whether there is room for monetary authorities to further improve their policies.
Type: Journal Article
URI: http://hdl.handle.net/1893/12230
DOI Link: http://dx.doi.org/10.1111/j.1538-4616.2012.00524.x
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Economics
University of Glasgow

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