Global effective lower bound and unconventional monetary policy

• 成果类型: Article; Proceedings Paper
• 署名作者: Wu, Jing Cynthia; Zhang, Ji
• 署名单位: University of Notre Dame; National Bureau of Economic Research; Tsinghua University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2019.01.016
• 发表日期: 2019
• 页码: 200-216
• 关键词: Effective lower bound; unconventional monetary policy; Shadow rate; new Keynesian model; open economy

摘要

In a standard open-economy New Keynesian model, the effective lower bound causes anomalies: output and terms of trade respond to a supply shock in the opposite direction compared to normal times. We introduce a tractable framework to accommodate for unconventional monetary policy. In our model, these anomalies disappear. We allow unconventional policy to be partially active and asymmetric between countries. Empirically, we find the US, Euro area, and UK have implemented a considerable amount of unconventional monetary policy: the US follows the historical Taylor rule, whereas the others have done less compared to normal times. (C) 2019 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).