Evaluating Central Banks? tool kit: Past, present, and future *

• 成果类型: Article
• 署名作者: Sims, Eric; Wu, Jing Cynthia
• 署名单位: National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.03.018
• 发表日期: 2021
• 页码: 135-160
• 关键词: Zero lower bound; unconventional monetary policy; quantitative easing; Negative interest rate policy; Forward guidance; quantitative tightening; DSGE; great recession; effective lower bound

摘要

We develop a structural DSGE model to systematically study the principal tools of unconventional monetary policy - quantitative easing (QE), forward guidance, and negative terest rate policy (NIRP) - as well as the interactions between them. To generate the same output response, the requisite NIRP and forward guidance interventions are twice as as a conventional policy shock, which seems implausible in practice. In contrast, QE an endogenous feedback rule can alleviate the constraints on conventional policy posed the zero lower bound. Quantitatively, QE1-QE3 can account for two thirds of the observed decline in the shadow Federal Funds rate. In spite of its usefulness, QE does not come without cost. A large balance sheet has consequences for different normalization plans, efficacy of NIRP, and the effective lower bound on the policy rate.