Challenges for Central Banks’ Macro Models
Challenges for Central Banks’ Macro Models
复制标题
央行宏观模型面临的挑战
DOI：
10.2139/ssrn.2780455
复制
发表时间：
2016
期刊：
影响因子：
--
通讯作者：
R. Wouters
中科院分区：
文献类型：
--
作者：
J. Lindé;F. Smets;R. Wouters
在本文中，我们根据大衰退及其后果，讨论了结构性宏观经济模型面临的一些挑战。它表明，与央行和大型国际机构目前使用的模型有许多共同点的基准动态随机一般均衡模型，很难同时解释大衰退的深度和缓慢复苏。为了更好地解释这些观察结果，本文分析了基准模型的三个扩展。首先，我们对模型进行了估计，明确允许名义利率的零下界约束。其次，我们在外生扰动的波动率中引入时间变化来解释某些冲击的非高斯性。第三，也是最后一点，我们用金融加速器对模型进行了扩展，并考虑了金融冲击内生传播的时变性。所有这三个扩展都要求我们超越大多数政策模型中标准的线性高斯假设。我们的结论是，这些延期在一定程度上解释了大衰退及其后果的特征，但它们不足以应对与使用非标准货币政策和宏观审慎政策相关的一些重大政策挑战。
In this paper we discuss a number of challenges for structural macroeconomic models in the light of the Great Recession and its aftermath. It shows that a benchmark DSGE model that shares many features with models currently used by central banks and large international institutions has difficulty explaining both the depth and the slow recovery of the Great Recession. In order to better account for these observations, the paper analyses three extensions of the benchmark model. First, we estimate the model allowing explicitly for the zero lower bound constraint on nominal interest rates. Second, we introduce time-variation in the volatility of the exogenous disturbances to account for the non-Gaussian nature of some of the shocks. Third and finally, we extend the model with a financial accelerator and allow for time-variation in the endogenous propagation of financial shocks. All three extensions require that we go beyond the linear Gaussian assumptions that are standard in most policy models. We conclude that these extensions go some way in accounting for features of the Great Recession and its aftermath, but they do not suffice to address some of the major policy challenges associated with the use of non-standard monetary policy and macroprudential policies.
影响因子：
10.7
作者：
Justiniano, Alejandro;Primiceri, Giorgio E.
通讯作者：
Primiceri, Giorgio E.