jats:pWe estimate the central bank policy preferences for the <jats:styled-content style="fixed-case">E</jats:styled-content>uropean <jats:styled-content style="fixed-case">M</jats:styled-content>onetary Union and for the <jats:styled-content style="fixed-case">UK</jats:styled-content>. In doing so, we extend the theoretical framework suggested by <jats:styled-content style="fixed-case">C</jats:styled-content>ecchetti jats:italicet al</jats:italic>. (<jats:styled-content style="fixed-case">jats:italicT</jats:italic></jats:styled-content>jats:italiche</jats:italic> <jats:styled-content style="fixed-case">jats:italicM</jats:italic></jats:styled-content>jats:italicanchester</jats:italic> <jats:styled-content style="fixed-case">jats:italicS</jats:italic></jats:styled-content>jats:italicchool</jats:italic>, Vol. 70 (2002), pp. 596–618), by assuming that policy preferences change across different regimes. Our empirical results suggest that the weight that policy makers put on inflation is typically profound. Furthermore, it appears that volatility shifts of the economic disturbances are the main factor, which generates variation in policy preferences.</jats:p>