Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/185914 
Autor:innen: 
Erscheinungsjahr: 
2009
Quellenangabe: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 145 [Issue:] 2 [Publisher:] Springer [Place:] Heidelberg [Year:] 2009 [Pages:] 187-220
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
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.
Schlagwörter: 
Taylor rule
Markov switching
Non-constant transition probabilities
Maximum likelihood
EM algorithm
JEL: 
C22
E52
E58
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
366.7 kB





Publikationen in EconStor sind urheberrechtlich geschützt.