Replication data for: Were There Regime Switches in U.S. Monetary Policy?

Principal Investigator(s):  View help for Principal Investigator(s) Christopher A. Sims; Tao Zha

Version:  View help for Version V1

Name File Type Size Last Modified
Cprograms.zip application/zip 1.2 MB 12/06/2019 10:46:AM
LICENSE.txt text/plain 14.6 KB 12/06/2019 10:46:AM
MatlabCode.zip application/zip 1.1 MB 12/06/2019 10:46:AM
readme_instruct.pdf application/pdf 38.6 KB 12/06/2019 10:46:AM

Project Citation: 

Sims, Christopher A., and Zha, Tao. Replication data for: Were There Regime Switches in U.S. Monetary Policy? Nashville, TN: American Economic Association [publisher], 2006. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-06. https://doi.org/10.3886/E116083V1

Project Description

Summary:  View help for Summary A multivariate regime-switching model for monetary policy is confronted with U.S. data. The best fit allows time variation in disturbance variances only. With coefficients allowed to change, the best fit is with change only in the monetary policy rule and there are three estimated regimes corresponding roughly to periods when most observers believe that monetary policy actually differed. But the differences among regimes are not large enough to account for the rise, then decline, in inflation of the 1970s and 1980s. Our estimates imply monetary targeting was central in the early 1980s, but also important sporadically in the 1970s.

Scope of Project

Subject Terms:  View help for Subject Terms Monetary policy
JEL Classification:  View help for JEL Classification
      E31 Price Level; Inflation; Deflation
      E43 Interest Rates: Determination, Term Structure, and Effects
      E52 Monetary Policy
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1960 – 2006
Data Type(s):  View help for Data Type(s) aggregate data


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V1 [2019-12-06]

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