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I estimate a Taylor-type monetary policy rule using a time-varying parameter vector autoregressive model to assess changes in central banks' behavior during and after the Great Recession. The results show large increases in responses to inflation and output for both the Federal Reserve and the European Central Bank after the 2008 crisis. Both weights on current inflation and output decrease with the monetary policy normalization started in the US, whereas the contemporaneous coefficients stay at their highest level at the end of the sample period in the Euro Area. Counterfactual analysis bring evidence to the macroeconomic effect of behavior changes in unconventional times. In the Euro Area, inflation rate would have been negative from 2014 to 2017 without any change in the coefficients of the monetary policy rule in the aftermath of the Great Recession.
