The unbearable lightness of equilibria in a low interest rate environment

• 成果类型: Article
• 署名作者: Ascari, Guido; Mavroeidis, Sophocles
• 署名单位: University of Pavia; European Central Bank; De Nederlandsche Bank NV; University of Oxford
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.01.003
• 发表日期: 2022
• 页码: 1-17
• 关键词: Incompleteness; Incoherency; rational expectations; zero lower bound; DSGE

摘要

Structural models with no solution are incoherent, and those with multiple solutions are incomplete. We show that models with occasionally binding constraints are not generically coherent. Coherency requires restrictions on the parameters or on the support of the distribution of the shocks. In presence of multiple shocks, the support restrictions cannot be independent from each other, so the assumption of orthogonality of structural shocks is incompatible with coherency. Models whose coherency is based on support restrictions are generically incomplete, admitting a very large number of minimum state variable solutions.(c) 2022 Elsevier B.V. All rights reserved.