The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities

• 成果类型: Article
• 署名作者: Del Negro, Marco; Eggertsson, Gauti; Ferrero, Andrea; Kiyotaki, Nobuhiro
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Brown University; University of Oxford; Princeton University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20121660
• 发表日期: 2017
• 页码: 824-857
• 关键词: monetary-policy; business cycles; interest-rates; Credit cycles; prices; MARKET; INVESTMENT; shocks; RISK; fluctuations

摘要

We introduce liquidity frictions into an otherwise standard DSGE model with nominal and real rigidities and ask: can a shock to the liquidity of private paper lead to a collapse in short-term nominal interest rates and a recession like the one associated with the 2008 US financial crisis? Once the nominal interest rate reaches the zero bound, what are the effects of interventions in which the government provides liquidity in exchange for illiquid private paper? We find that the effects of the liquidity shock can be large, and show some numerical examples in which the liquidity facilities of the Federal Reserve prevented a repeat of the Great Depression in the period 2008-2009.