Identification of Structural Shocks under the Zero Lower Bound on Nominal Interest Rates
Identification of Structural Shocks under the Zero Lower Bound on Nominal Interest Rates
复制标题
名义利率零下限下结构性冲击的识别
DOI：
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
Yoichi Ueno
中科院分区：
文献类型：
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作者：
Kosuke Aoki;Yoichi Ueno
我们提出了一种简单易用的方法来估计名义利率下界为零的线性动态随机一般均衡模型。我们的方法利用远期利率曲线来考虑零下限对均衡内生变量的影响，而不依赖于求解理性预期均衡的非线性技术。将该方法应用于日本的数据，我们发现，自然利率在90年代末和21世纪头10年可能没有下降到负值。反事实模拟表明，日本央行在这几个时期的零利率政策和量化宽松政策通过牛市拉平收益率曲线，产生了扩张效应。
We propose a simple and tractable method to estimate linear DSGE models with the zero lower bound on nominal interest rates. Our method makes use of forward rate curves in order to take into account the effects of the zero lower bound on equilibrium endogenous variables without relying on nonlinear techniques for solving rational expectation equilibrium. Applying the method to Japanese data, we find that the natural interest rate might not have declined to negative values in the late 90s and 2000s. Counterfactual simulations show that the Bank of Japan's zero interest rate policy and quantitative easing policy in those periods had expansionary effects by bull flattening the yield curves.