Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries

• 成果类型: Article
• 署名作者: Aruoba, S. Boragan; Cuba-Borda, Pablo; Schorfheide, Frank
• 署名单位: University System of Maryland; University of Maryland College Park; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdx027
• 发表日期: 2018
• 页码: 87-118
• 关键词: monetary-policy; great recession; interest-rates; fiscal-policy; models; zero; rules

摘要

We compute a sunspot equilibrium in an estimated small-scale New Keynesian model with a zero lower bound (ZLB) constraint on nominal interest rates and a full set of stochastic fundamental shocks. In this equilibrium, a sunspot shock can move the economy from a regime in which inflation is close to the central bank's target to a regime in which the central bank misses its target, inflation rates are negative, and interest rates are close to zero with high probability. A non-linear filter is used to examine whether the U.S. in the aftermath of the Great Recession and Japan in the late 1990s transitioned to a deflation regime. The results are somewhat sensitive to the model specification, but on balance, the answer is affirmative for Japan and negative for the U.S.