Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates
Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates
复制标题
名义利率零下限承诺下的最优货币政策
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
R. Billi
中科院分区：
文献类型：
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作者：
Klaus Adam;R. Billi
当名义利率低于零时，我们在一个前瞻性的新凯恩斯模型中确定了承诺下的最优货币政策。下限表示一个偶然的约束，它导致模型和最优策略是非线性的。对美国经济的校准表明，政策应该比没有下限的模型所建议的更积极地降低名义利率。理性的代理人预测未来达到下限的可能性，这放大了不利冲击的影响，远在达到下限之前。尽管美国加价冲击的经验幅度似乎太小，不足以导致名义利率为零，但影响自然实际利率的冲击似乎会导致一个具有约束力的下限。然而，在最优政策下，这种情况很少发生，并不意味着均衡的正平均通胀率。有趣的是，约束性实际利率冲击的存在改变了对(非约束性)加价冲击的政策反应。
We determine optimal monetary policy under commitment in a forwardlooking New Keynesian model when nominal interest rates are bounded below by zero. The lower bound represents an occasionally binding constraint that causes the model and optimal policy to be nonlinear. A calibration to the U.S. economy suggests that policy should reduce nominal interest rates more aggressively than suggested by a model without lower bound. Rational agents anticipate the possibility of reaching the lower bound in the future and this amplifies the effects of adverse shocks well before the bound is reached. While the empirical magnitude of U.S. mark-up shocks seems too small to entail zero nominal interest rates, shocks affecting the natural real interest rate plausibly lead to a binding lower bound. Under optimal policy, however, this occurs quite infrequently and does not imply positive average inflation rates in equilibrium. Interestingly, the presence of binding real rate shocks alters the policy response to (non-binding) markup shocks.