Estimating DSGE models with zero interest rate policy

• 成果类型: Article
• 署名作者: Kulish, Mariano; Morley, James; Robinson, Tim
• 署名单位: University of New South Wales Sydney; University of Melbourne
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.05.003
• 发表日期: 2017
• 页码: 35-49
• 关键词: Zero lower bound; Forward guidance; Bayesian estimation

摘要

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. (C) 2017 Elsevier B.V. All rights reserved.