Classification of monetary and fiscal dominance regimes using machine learning techniques

  • The authors identify U.S. monetary and fiscal dominance regimes using machine learning techniques. The algorithms are trained and verified by employing simulated data from Markov-switching DSGE models, before they classify regimes from 1968-2017 using actual U.S. data. All machine learning methods outperform a standard logistic regression concerning the simulated data. Among those the Boosted Ensemble Trees classifier yields the best results. The authors find clear evidence of fiscal dominance before Volcker. Monetary dominance is detected between 1984-1988, before a fiscally led regime turns up around the stock market crash lasting until 1994. Until the beginning of the new century, monetary dominance is established, while the more recent evidence following the financial crisis is mixed with a tendency towards fiscal dominance.

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Metadaten
Author:Natascha Hinterlang, Josef Hollmayr
URN:urn:nbn:de:hebis:30:3-617716
URL:https://www.imfs-frankfurt.de/de/forschung/imfs-working-papers/details/publication/classification-of-monetary-and-fiscal-dominance-regimes-using-machine-learning-techniques.html
Parent Title (English):Working paper series / Institute for Monetary and Financial Stability ; 160
Series (Serial Number):Working paper series / Institute for Monetary and Financial Stability (160)
Publisher:Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2021
Year of first Publication:2021
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2021/07/31
Tag:Classification; Machine Learning; Markov-switching DSGE; Monetary-fiscal interaction
Issue:May 19, 2021
Page Number:40
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht