as perfect foresight or stochastic rational expectations, is an important factor in the determination of equilibrium in the case of a non-linear DSGE model caused by the ZLB. This paper follows their study.

On the other hand, monetary policy regime changes could often be observed in an actual economy before the Great Recession. For example, the replacement of a chairman of the Federal Reserve or a governor of the Bank of Japan, etc., indicates the shaping of monetary policy regime shifts. In fact, some empirical studies, including Lubik and Schorfheide (2004), have reported that the US inflation of the 1970s was due to the Federal Reserve's failure to obey the Taylor principle, before Paul Volker, the chairman of the Federal Reserve between 1979 and 1987, steered monetary policy based on the Taylor principle and cleaned up the hyper-inflation caused by his predecessors. The analysis of policy regime change using an RE model can be undertaken by adopting a Markov switching (MS) linear RE (MSLRE) model. The literature on the MSLRE model has recently been an active field in empirical macroeconomics. For example, the research by Davig and Leeper (2007) and Farmer et al. (2009, 2011) is representative of this field. Davig and Doh (2008), Liu et al. (2011) and Schorfheide (2005) estimated the presence of monetary policy change for the US economy using MSLRE models. However, these models could not deal with the constraint of the ZLB.

The purpose of this study is to combine these two theses; accordingly, I extend an MSLRE model to the model subject to the ZLB on the nominal interest rate. In addition, this task indicates the combination of two different types of regime-switching monetary policies. This is because the model subject to the ZLB is regarded as a kind of state-dependent regime-switching one, in which, if an economy belongs to a regime with a positive interest rate, then the interest rate can operate based on the Taylor rule, but if the economy hits the other regime, in which the interest rate is fixed at zero, then the Taylor rule cannot work, regardless of the status of its economic activities. This type of regime-switching model must be a non-linear model, unlike the MSLRE model. The combination of the two kinds of regime-switching policies is, however, likely to occur as explained above. Accordingly, the challenge in my study could contribute to the consideration of the operation of actual monetary policy in the future. In addition, I consider the difference in the effects on the economy with different expectations, since the lack of equilibrium between perfect foresight and stochastic expectations must be non-negligible under the ZLB, as pointed out by Adam and Billi (2007). In contrast, the gap does not exist in the MSLRE models without the ZLB. To this end, I deal with a simple new Keynesian model with the MStype Taylor rule introduced by Davig and Leeper (2007) and incorporate the ZLB constraint into the model, using the concept and the algorithm of the stochastic rational expectation equilibrium (SREE) proposed by Billi (2013). Furthermore, I calibrate and evaluate the effects of monetary policy regime shifts under the ZLB constraint. $ ^{2} $