Greenspan’s adherence to the Taylor rule: examining Federal Reserve chairmen policy regimes and deviations from the Taylor rule

References

• Abel, A. B., Bernanke, B. S., & Dean, C. (2005). Macroeconomics. Pearson.
   Google Scholar
• Alba, J. D., & Wang, P. (2017). Taylor rule and discretionary regimes in the United States: Evidence from a k-state Markov regime-switching model. Macroeconomic Dynamics, 21(3), 817–24. https://doi.org/10.1017/S1365100515000693
   Web of Science ®Google Scholar
• Alex, N.R., Papell, D. H., & Prodan, R. (2019). The Taylor principles. Journal of Macroeconomics, 62, 103159.
   Web of Science ®Google Scholar
• Athanasios, O., & Williams, J. C. (2003). Monetary policy rules and the Great Inflation. The American Economic Review, 93(3), 545–569.
   Web of Science ®Google Scholar
• Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. https://doi.org/10.2307/2998540
   Web of Science ®Google Scholar
• Bai, J., & Perron, P. (2003a). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1–22. https://doi.org/10.1002/jae.659
   Web of Science ®Google Scholar
• Bai, J., & Perron, P. (2003b). Critical values for multiple structural change tests. The Econometrics Journal, 6(1), 72–78. https://doi.org/10.1111/1368-423X.00102
   Google Scholar
• Board of the Governors of the Federal Reserve System. (2021) (Retrieved February 12, 2021) FOMC Transcripts and Other Historical Materials. https://www.federalreserve.gov/monetarypolicy/fomchistorical2011.htm
   Google Scholar
• Boivin, J. (2006). Has US monetary policy changed? Evidence from drifting coefficients and real-time data. Journal of Money, Credit, and Banking, 38(7), 1149–1173. https://doi.org/10.1353/mcb.2006.0065
   Google Scholar
• Clarida, R., Gali, J., & Gertler, M. (1999). The science of monetary policy: A new Keynesian perspective. Journal of Economic Literature, 37(4), 1661–1707. https://doi.org/10.1257/jel.37.4.1661
   Web of Science ®Google Scholar
• Cooley, T. F., & Prescott, E. C. (1976). Estimation in the presence of stochastic parameter variation. Econometrica, 44(1), 167–184. https://doi.org/10.2307/1911389
   Web of Science ®Google Scholar
• Diebold, F. X., Lee, J.H., & Weinbach, G. C. (1994). Regime switching with time-varying transition probabilities. Business Cycles: Durations, Dynamics, and Forecasting, 1, 144–165.
   Google Scholar
• Engel, C. (1994). Can the Markov switching model forecast exchange rates? Journal of International Economics, 36(1–2), 151–165. https://doi.org/10.1016/0022-1996(94)90062-0
   Web of Science ®Google Scholar
• Engel, C., & Hamilton, J. D. (1990). Long swings in the dollar: Are they in the data and do markets know it? The American Economic Review, 80, 689–713.
   Web of Science ®Google Scholar
• Fair, R. C. (2001). Actual federal reserve policy behavior and interest rate rules. Federal Reserve Bank of New York Economic Policy Review, 7(1), 61–72.
   Google Scholar
• Filardo, A. J. (1994). Business-cycle phases and their transitional dynamics. Journal of Business & Economic Statistics, 12(3), 299–308. https://doi.org/10.1080/07350015.1994.10524545
   Web of Science ®Google Scholar
• Garcia, R., & Perron, P. (1996). An analysis of the real interest rate under regime shifts. The Review of Economics and Statistics, 78(1), 111–125. https://doi.org/10.2307/2109851
   Web of Science ®Google Scholar
• Ghysels, E. (1994). On the periodic structure of the business cycle. Journal of Business & Economic Statistics, 12(3), 289–298. https://doi.org/10.1080/07350015.1994.10524544
   Web of Science ®Google Scholar
• Goodwin, T. H. (1993). Business-cycle analysis with a Markov-switching model. Journal of Business & Economic Statistics, 11(3), 331–339. https://doi.org/10.1080/07350015.1993.10509961
   Web of Science ®Google Scholar
• Hamilton, J. D. (1988). Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates. Journal of Economic Dynamics and Control, 12(2–3), 385–423. https://doi.org/10.1016/0165-1889(88)90047-4
   Web of Science ®Google Scholar
• Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 57(2), 357–384. https://doi.org/10.2307/1912559
   Web of Science ®Google Scholar
• Handlan, A. (2021). Text shocks and monetary surprises (Doctoral dissertation, University of Minnesota).
   Google Scholar
• Hansen, B. E. (2001). The New Economnetrics of Structural Change: Dating Breaks in U.S. Labor Productivity. Journal of Economic Perspectives, 15(4), 117–128.
   Web of Science ®Google Scholar
• Hansen, S., & McMahon, M. (2016). Shocking language: Understanding the macroeconomic effects of central bank communication. Journal of International Economics, 99, S114–133. https://doi.org/10.1016/j.jinteco.2015.12.008
   Web of Science ®Google Scholar
• Judd, J. P., & Rudebusch, G. D. (1998). Taylor’s rule and the fed: 1970-1997. Economic Review–Federal Reserve Bank of San Francisco, 3, 3–16.
   Google Scholar
• Kim, C.J., & Nelson, C. R. (1998). Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching. The Review of Economics and Statistics, 80(2), 188–201. https://doi.org/10.1162/003465398557447
   Web of Science ®Google Scholar
• Kim, M.J., & Yoo, J.S. (1995). New index of coincident indicators: A multivariate Markov switching factor model approach. Journal of Monetary Economics, 36(3), 607–630. https://doi.org/10.1016/0304-3932(95)01229-X
   Web of Science ®Google Scholar
• Lam, P.S. (1990). The Hamilton model with a general autoregressive component: Estimation and comparison with other models of economic time series: Estimation and comparison with other models of economic time series. Journal of Monetary Economics, 26(3), 409–432. https://doi.org/10.1016/0304-3932(90)90005-O
   Web of Science ®Google Scholar
• Mehra, Y. P., & Sawhney, B. (2010). Inflation measure, Taylor rules, and the Greenspan-Bernanke years. FRB Richmond Economic Quarterly, 96(2), 123–151.
   Google Scholar
• Murray, C. J., Nikolsko-Rzhevskyy, A., & Papell, D. H. (2015). Markov switching and the Taylor principle. Macroeconomic Dynamics, 19(4), 913–930.
   Web of Science ®Google Scholar
• Orphanides, A. (2001). Monetary policy rules based on real-time data. The American Economic Review, 91(4), 964–985.
   Web of Science ®Google Scholar
• Orphanides, A. (2002). Monetary-policy rules and the great inflation. The American Economic Review, 92(2), 115–120.
   Web of Science ®Google Scholar
• Orphanides, A., & Wieland, V. (2008). Economic projections and rules-of-thumb for monetary policy. Federal Reserve Bank of St Louis Review, 90(July/August), 307–324.
   Google Scholar
• Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821–852.
   Web of Science ®Google Scholar
• Quandt, R. E. (1972). A new approach to estimating switching regressions. Journal of the American Statistical Association, 67(338), 306–310.
   Google Scholar
• Salton, G., & McGill, M. J. (1983). Introduction to modern information retrieval. McGraw-Hill.
   Google Scholar
• Schaller, H., & Van Norden, S. (1997). Regime switching in stock market returns. Applied Financial Economics, 7(2), 177–191.
   Google Scholar
• Shapiro, A. H., & Wilson, D. J. (2022). Taking the fed at its word: A new approach to estimating central bank objectives using text analysis. The Review of Economic Studies, 89(5), 2768–2805.
   Web of Science ®Google Scholar
• Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
   Web of Science ®Google Scholar
• Sims, C. A. (1992). Interpreting the macroeconomic time series facts: The effects of monetary policy. European Economic Review, 36(5), 975–1000.
   Web of Science ®Google Scholar
• Sims, C. A., & Zha, T. (2006). Were there regime switches in US monetary policy? The American Economic Review, 96(1), 54–81.
   Web of Science ®Google Scholar
• Sola, M., & Driffill, J. (1994). Testing the term structure of interest rates using a stationary vector autoregression with regime switching. Journal of Economic Dynamics and Control, 18(3–4), 601–628.
   Web of Science ®Google Scholar
• Svensson, L. E. O. (2017). Monetary policy with judgment: Forecast targeting. International Journal of Central Banking, 1(1), 1–54.
   Google Scholar
• Taylor, J. B. (1993) Discretion versus policy rules in practice. In Carnegie-Rochester Conference Series on Public Policy, 39, 195–214.
   Google Scholar
• Taylor, J. B. (1999). A historical analysis of monetary policy rules. In John B. Taylor (Ed.), Monetary Policy Rules (pp. 319–348). University of Chicago Press.
   Google Scholar
• Taylor, J. B. (2007). Housing and monetary policy. No. w13682National Bureau of Economic Research.
   Google Scholar
• Taylor, J. B. 2009. The financial crisis and the policy responses: An empirical analysis of what went wrong. Working Paper 14631. National Bureau of Economic Research (January).
   Google Scholar
• Timothy, C., & Sargent, T. J. (2005). Drifts and volatilities: Monetary policies and outcomes in the post WWII US. Review of Economic Dynamics, 8(2), 262–302. https://doi.org/10.1016/j.red.2004.10.009
   Web of Science ®Google Scholar
• Westelius, N. J. (2007). The time-varying nature of the link between inflation and inflation uncertainty: Evidence from the US, UK and Germany. Journal of International Money & Finance, 26(7), 1146–1165.
   Google Scholar
• Yoosoon, C., Choi, Y., & Park, J. Y. (2017). A new approach to model regime switching. Journal of Econometrics, 196(1), 127–143. https://doi.org/10.1016/j.jeconom.2016.09.005
   Web of Science ®Google Scholar