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Classification JEL: E31, E43 et E52. Mots-clés: changements de régime, DSGE, indétermination.Abstract: In this paper, we provide determinacy conditions, i.e. conditions ensuring the existence and uniqueness of a bounded solution, in a purely forward-looking linear Markov

This paper solves rational expectations models in which structural parameters switch across multiple regimes according to state-dependent (endogenous) transition probabilities. Assuming small shocks and smooth transition probabilities, we apply a perturbation approach. We first provide for conditions under which a unique bounded equilibrium exists. We then compute first-and second-order approximations. In a new-Keynesian model with monetary policy switching, we document new effects of monetary policy switching when transition probabilities depend on inflation.

This paper determines conditions for the existence of a unique rational expectations equilibrium-determinacy-in a monetary policy switching economy. We depart from the existing literature by providing such conditions considering all bounded equilibria. We then apply these conditions to a new Keynesian model with switching Taylor rules. First, deviation from the Taylor principle in one regime does not necessarily cause indeterminacy. Second, very different responses to inflation may trigger indeterminacy even if both regimes satisfy the Taylor principle. Determinacy thus results from the adequacy between monetary regimes rather than the determinacy of each of them taken in isolation.

Whereas the bulk of the literature on DSGE models provides a rationale for in ‡ation targeting strategies, there is no model doing such a job for the strategy implemented for almost ten years now by the Eurosystem and known as the "two-pillar monetary policy strategy". We try to address this issue by developping a small "two-pillar" DSGE model for the euro area. In this paper: 1) we allow real balances to appear both in the IS and Phillips curves; 2) we …nd some evidence that money plays a non-trivial role in explaining the euro area business cycle; 3) this provides a rationale for the central bank (the European Central Bank) to factor in monetary developments, by exploiting the long-run relationship between money growth and in ‡ation, eventually accounting for structural shifts in velocity; 4) we found some evidence that the ECB has reacted systematically to a …ltered measure of money growth but not necessarily in a non-linear way, i.e. by di¤erentiating high money growth periods ("excess liquidity") from "normal" ones.