영문 ; 상태 변환하의 최적 통화 정책 -미국 주택 시장의 경우- = English ; Optimal Monetary Policy under Regime Switches -the case of US Housing Market-

다국어 초록 (Multilingual Abstract)

In this paper, we address the problem of optimal monetary policy rule in the presence of abrupt shifts in the structure of the economy. To do so, we first estimate a Markov switching model for the US housing price inflation, and find evidence supporting the presence of two distinct regimes for the US housing price inflation. One of the two regimes identified appears `usual`, in that housing price inflation negatively responds to higher real interest rate. The other regime is `unusual`, in that the housing price inflation is positively related with real interest rate. We then solve an optimal control problem of the FRB under the presence of the two regimes thus identified. The optimal policy is `asymmetric` in that the optimal responses in the `usual` regime require the FRB to lean against the wind to inflationary pressure, while the FRB is recommended to accommodate it in the unusual regime. It is also found that the optimal degree of responses is more conservative when the FRB acknowledges the uncertainty about future regime.