A Toolkit for Solving Models with a Lower Bound on Interest Rates of Stochastic Duration
A Toolkit for Solving Models with a Lower Bound on Interest Rates of Stochastic Duration
复制标题
求解随机久期利率下限模型的工具包
DOI：
10.2139/ssrn.3532643
复制
发表时间：
2020
期刊：
影响因子：
--
通讯作者：
Luca Riva
中科院分区：
文献类型：
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作者：
Gauti B. Eggertsson;S. Egiev;Alessandro Lin;J. Platzer;Luca Riva
摘要本文提出了一个工具包，以解决在一个特殊的假设下，潜在的冲击过程，一个两状态马尔可夫过程的吸收状态下，在一个计算有效的方式在经济体面临的名义利率的有效下限的均衡。我们通过复制Eggertsson和Woodford（2003）中的最优货币政策来说明经典新凯恩斯模型中的算法，并展示了如何使用该工具包来分析纽约联邦储备银行开发的中等规模动态随机一般均衡模型。作为一个应用程序，我们展示了如何执行各种政策规则相对于最优承诺均衡。一个关键的结论是，以前建议的战略-如价格水平目标和名义国内生产总值目标-在价格水平小幅下降时，如大衰退期间所观察到的那样，效果不佳，因为它们并不意味着对未来低利率的足够强有力的承诺（“弥补战略”）。我们提出了两个新的政策规则-累积名义GDP目标规则和对称双目标目标规则-更强大。如果这些政策在2008年实施，它们将使产出收缩减少约80%。如果联邦遵循平均通胀目标--可以说接近2020年8月宣布的政策框架--产出收缩将减少约25%。
Abstract This paper presents a toolkit to solve for equilibrium in a computationally efficient way in economies facing the effective lower bound on the nominal interest rate under a special assumption about the underlying shock process, a two-state Markov process with an absorbing state. We illustrate the algorithm in the canonical New Keynesian model by replicating the optimal monetary policy in Eggertsson and Woodford (2003) , and we show how the toolkit can be used to analyse the medium-scale dynamic stochastic general equilibrium model developed by the Federal Reserve Bank of New York. As an application, we show how various policy rules perform relative to the optimal commitment equilibrium. A key conclusion is that previously suggested strategies – such as price level targeting and nominal GDP targeting – do not perform well when there is a small drop in the price level, as observed during the Great Recession, because they do not imply a sufficiently strong commitment to low future interest rates (“make-up strategy”). We propose two new policy rules – the cumulative nominal GDP targeting rule and the symmetric dual-objective targeting rule – that are more robust. Had these policies been in place in 2008, they would have reduced the output contraction by approximately 80 percent. If the Federal Reserve had followed average inflation targeting – which arguably approximates the policy framework announced in August 2020 – the output contraction would have been roughly 25 percent smaller.