Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185914
Authors: 
Perruchoud, Alexander
Year of Publication: 
2009
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 145 [Year:] 2009 [Issue:] 2 [Pages:] 187-220
Abstract: 
In this paper a Taylor rule including the exchange rate gap is estimated for Switzerland under the assumption that the parameters depend on two states governed by a Markov switching process. The estimates suggest the presence of an ordinary and an aggressive regime. The former is characterized by a high degree of interest rate smoothing and by significant reactions to inflation and the output gap. The aggressive regime shows much less smoothing, an aggressive reaction to inflation, and a large coefficient on the exchange rate gap. Furthermore, an asymmetry in the occurrence of the two regimes is found.
Subjects: 
Taylor rule
Markov switching
Non-constant transition probabilities
Maximum likelihood
EM algorithm
JEL: 
C22
E52
E58
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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