The Empirical Implications of the Interest-Rate Lower Bound

• 成果类型: Article
• 署名作者: Gust, Christopher; Herbst, Edward; Lopez-Salido, David; Smith, Matthew E.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20121437
• 发表日期: 2017
• 页码: 1971-2006
• 关键词: Occasionally binding constraints; SOLVING DYNAMIC-MODELS; MONTE-CARLO METHODS; great recession; monetary-policy; nominal rigidities; business cycles; likelihood; shocks

摘要

Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the US economy to the lower bound in late 2008 as well as the contribution of the lower bound constraint to the resulting economic slump. We find that the interest-rate lower bound was a significant constraint on monetary policy that exacerbated the recession and inhibited the recovery, as our mean estimates imply that the zero lower bound (ZLB) accounted for about 30 percent of the sharp contraction in US GDP that occurred in 2009 and an even larger fraction of the slow recovery that followed.