MODELING CHANGES IN MONETARY-POLICY REGIMES

Following the work of Poole and others, changes in monetary policy reg imes are hypothesized to be the result of the reaction of policymakers to changes in the distribution of shocks buffeting the economy. First , a time-varying estimation procedure is employed to parameterize the degree to which the policy rule has changed over time. Second, estimat ed changes in the policy rule are modeled explicitly, utilizing proxie s for the disturbances which theory and practice suggest are relevant determinants of such variations. The results suggest changes in moneta ry policy regimes do not appear to be exogenous events.