Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
复制标题
零利率下限附近的宏观经济动态：两个国家的故事
DOI：
10.17016/ifdp.2016.1163
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
F. Schorfheide
中科院分区：
文献类型：
--
作者：
S. B. Aruoba;Pablo Borda;F. Schorfheide
我们提出并解决了一个小规模的新凯恩斯主义模型与马尔可夫太阳黑子冲击之间的目标通货膨胀制度和通货紧缩制度的经济，并适合它的数据来自美国和日本。对于美国，我们发现，不利的需求冲击使经济在2009年达到了零下限（ZLB），随后的扩张性货币政策使其保持在那里。与此相反，日本在1999年经历了向通货紧缩体制的转变，此后除短暂时期外，一直处于通货紧缩状态。这两种情况对宏观经济政策有着截然不同的影响。在通货紧缩的情况下，财政乘数大约小20%，尽管经济仍然处于ZLB。虽然央行承诺将利率保持在ZLB附近，但目标通胀制度（美国）的财政乘数将翻倍，它在通货紧缩制度中没有影响（日本）。
We propose and solve a small-scale New-Keynesian model with Markov sunspot shocks that move the economy between a targeted-inflation regime and a deflation regime and fit it to data from the U.S. and Japan. For the U.S. we find that adverse demand shocks have moved the economy to the zero lower bound (ZLB) in 2009 and an expansive monetary policy has kept it there subsequently. In contrast, Japan has experienced a switch to the deflation regime in 1999 and remained there since then, except for a short period. The two scenarios have drastically different implications for macroeconomic policies. Fiscal multipliers are about 20% smaller in the deflationary regime, despite the economy remaining at the ZLB. While a commitment by the central bank to keep rates near the ZLB doubles the fiscal multipliers in the targeted-inflation regime (U.S.), it has no effect in the deflation regime (Japan).