Optimal monetary policy with r* < 0

• 成果类型: Article
• 署名作者: Billi, Roberto; Gali, Jordi; Nakov, Anton
• 署名单位: Sveriges Riksbank; Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Barcelona School of Economics; European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.09.005
• 发表日期: 2024
• 关键词: Zero lower bound; new Keynesian model; Decline in r*; Equilibrium determinacy; Regime switching models; Secular stagnation

摘要

We study the optimal monetary policy problem in a New Keynesian economy with a zero bound (ZLB) on the nominal interest rate, when the steady state natural rate (r*) becomes permanently negative. We show that the optimal policy aims to approach gradually a new steady state with positive average inflation. Around that steady state, the optimal policy implies defined (second-best) paths for inflation and output in response to shocks to the natural Under plausible calibrations, the optimal policy implies that the nominal rate remains ZLB most of the time. Despite the latter feature, the central bank can implement the optimal outcome as a unique equilibrium by means of an appropriate nonlinear interest rate rule. order to establish that result, we derive sufficient conditions for local determinacy in a general model with endogenous regime switches.