Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/224929
Authors: 
Hinterlang, Natascha
Hollmayr, Josef
Year of Publication: 
2020
Series/Report no.: 
Bundesbank Discussion Paper 51/2020
Abstract: 
This paper identifies U.S. monetary and fiscal dominance regimes using machine learning techniques. The algorithms are trained and verified by employing simulated data from Markov-switching DSGE models, before they classify regimes from 1968-2017 using actual U.S. data. All machine learning methods outperform a standard logistic regression concerning the simulated data. Among those the Boosted Ensemble Trees classifier yields the best results. We find clear evidence of fiscal dominance before Volcker. Monetary dominance is detected between 1984-1988, before a fiscally led regime turns up around the stock market crash lasting until 1994. Until the beginning of the new century, monetary dominance is established, while the more recent evidence following the financial crisis is mixed with a tendency towards fiscal dominance.
Subjects: 
Monetary-fiscal interaction
Machine Learning
Classification
Markov-switching DSGE
JEL: 
C38
E31
E63
ISBN: 
978-3-95729-772-3
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.