THE FOUR-EQUATION NEW KEYNESIAN MODEL

• 成果类型: Article
• 署名作者: Sims, Eric; Wu, Jing Cynthia; Zhang, Ji
• 署名单位: National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01071
• 发表日期: 2023-07
• 页码: 931-947
• 关键词: monetary-policy; rates; qe

摘要

This paper develops a New Keynesian model featuring financial intermediation, short- and long-term bonds, credit shocks, and scope for unconventional monetary policy. The log-linearized model reduces to four equations: Phillips and IS curves, as well as policy rules for the short-term interest rate and the central bank's long-bond portfolio (QE). Credit shocks and QE appear in both the IS and Phillips curves. In equilibrium, optimal monetary policy entails adjusting the short-term interest rate to offset natural rate shocks but using QE to offset credit market disruptions. Use of QE significantly mitigates the costs of a binding zero lower bound.