کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5101556 1479307 2017 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating DSGE models with zero interest rate policy
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Estimating DSGE models with zero interest rate policy
چکیده انگلیسی
We propose estimating DSGE models in which the central bank fixes the policy rate for an extended period of time and apply our approach to estimate expected durations of the Federal Reserve's zero interest rate policy since 2009. We find a large increase in expected duration in 2011 with the move to calendar-based guidance and a decrease in 2013 with the 'Taper tantrum'. These changes are identified by the influence of expected duration on output, inflation and interest rates at longer maturities. The structural model measures the severity of the zero lower bound constraint and the effects of unconventional policy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 88, June 2017, Pages 35-49
نویسندگان
, , ,