HAL Id: hal-00462957
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Preprint submitted on 10 Mar 2010
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Optimal versus realized policy rules in a
regime-switching framework
Sophie Pardo, Nicolas Rautureau, Thomas Vallée
To cite this version:
Sophie Pardo, Nicolas Rautureau, Thomas Vallée. Optimal versus realized policy rules in a
regime-switching framework. 2010. �hal-00462957�
EA 4272
Optimal versus realized policy rules
in a regime-switching framework
Sophie Pardo (*)
Nicolas Rautureau (*)
Thomas Vallée (*)
2010/11
(*) LEMNA – Université de Nantes
Laboratoire d’Economie et de Management Nantes-Atlantique
Université de Nantes
Chemin de la Censive du Tertre – BP 52231
44322 Nantes cedex 3 – France
www.univ-nantes.fr/iemn-iae/recherche
Tél. +33 (0)2 40 14 17 17 – Fax +33 (0)2 40 14 17 49
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W
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in
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P
ap
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1960
0
1970
1980
1990
2000
2010
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
Quarterly model
Reaction function
0−1
2−3
4−5
6−7
8−9
0
2
0
0
0
6
0
0
0
1
0
0
0
0
Determinist Constant Case
Weight on Inflation
0−1
2−3
4−5
6−7
8−9
0
2
0
0
0
6
0
0
0
1
0
0
0
0
Determinist Constant Case
Weight on GDP
0−1
2−3
4−5
6−7
8−9
2
0
0
0
6
0
0
0
1
0
0
0
0
Determinist Regime 1 Case
Weight on Inflation in Regime 1
0−1
2−3
4−5
6−7
8−9
2
0
0
0
6
0
0
0
1
0
0
0
0
Determinist Regime 1 Case
Weight on GDP in Regime 1
0−1
2−3
4−5
6−7
8−9
2
0
0
0
4
0
0
0
6
0
0
0
8
0
0
0
Determinist Regime 2 Case
Weight on Inflation in Regime 2
0−1
2−3
4−5
6−7
8−9
2
0
0
0
4
0
0
0
6
0
0
0
8
0
0
0
Determinist Regime 2 Case
1960
0
1965
1970
1975
1980
1985
1990
1995
2000
2005
2010
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
Probability of the economy to be in state (regime) 1
Probability to leave state (regime) 2
0−1
2−3
4−5
6−7
8−9
1
0
0
0
3
0
0
0
Markovian Case
Weight on Inflation in Regime 1
0−1
2−3
4−5
6−7
8−9
1
0
0
0
3
0
0
0
Markovian Case
Weight on Inflation in Regime 2
0−1
2−3
4−5
6−7
8−9
1
0
0
0
3
0
0
0
Markovian Case
Weight on GDP in Regime 1
0−1
2−3
4−5
6−7
8−9
1
0
0
0
3
0
0
0
Markovian Case
Weight on GDP in Regime 2
1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −2 0 2 4 6 8 10 12 14 16 18 i Realized Optimal Solution 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −2 0 2 4 6 8 10 12 14 16 18 i Realized Optimal Solution 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −2 0 2 4 6 8 10 12 14 16 18 i Realized Optimal Solution
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 100 200 300 400 500 600 Inflation Priority Output Gap Priority
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 50 100 150 200 250 300 350 400 Inflation Priority Equal Priority 19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 50 100 150 200 250 300 350 Inflation Priority Very High Inflation Priority
1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −5 0 5 10 15 20 i Realized Optimal Solution 19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 2 4 6 8 10 12 14 16 18 i Realized Optimal Solution 19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 2 4 6 8 10 12 14 16 18 i Realized Optimal Solution
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 50 100 150 200 250 300 350 400 Equal Priority Output Gap Priority
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 50 100 150 200 250 300 350 400 Inflation Priority Output Gap Priority
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 20 40 60 80 100 120 140 160 180 Equal Priority Output Gap Priority
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 20 40 60 80 100 120 140 160 180 Inflation Priority Output Gap Priority
1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −5 0 5 10 15 20 i Realized Optimal Solution 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −2 0 2 4 6 8 10 12 14 16 18 i Realized Optimal Solution 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −2 0 2 4 6 8 10 12 14 16 18 i Realized Optimal Solution
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 50 100 150 200 250 300 350 400 450 Equal Priority Inflation Priority 19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 50 100 150 200 250 300 350 400 450 500 Equal Priority Output Gap Priority
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 50 100 150 200 250 300 350 400 450 500 Inflation Priority Output Gap Priority
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 20 40 60 80 100 120 140 160 180 200 Equal Priority Output Gap Priority
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 20 40 60 80 100 120 140 160 180 200 Inflation Priority Output Gap Priority
19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 2 4 6 8 10 12 14 16 18 i Realized Optimal JMLQ Solution 19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 2 4 6 8 10 12 14 16 18 i Realized Optimal JMLQ Solution 19600 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 2 4 6 8 10 12 14 16 18 i Realized Optimal JMLQ Solution
