The Zero Lower Bound and Endogenous Uncertainty

• 成果类型: Article
• 署名作者: Plante, Michael; Richter, Alexander W.; Throckmorton, Nathaniel A.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Dallas; Auburn University System; Auburn University; William & Mary
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12445
• 发表日期: 2018
• 页码: 1730-1757
• 关键词: oil price uncertainty; monetary-policy; business cycles; shocks; IMPACT; volatility; models; rules; RISK

摘要

This article examines the correlation between uncertainty and real GDP growth. We use the volatility of real GDP growth from a VAR, stock market volatility, survey-based forecast dispersion and macro uncertainty index as proxies for uncertainty. In each case, a stronger negative correlation emerged in 2008. We contend the zero lower bound (ZLB) on the federal funds rate contributed to our finding. To test our theory, we estimate a New Keynesian model with a ZLB constraint to generate a data-driven, forward-looking uncertainty measure. The correlations between that measure and real GDP growth are close to the values in the data.