SVARs With Occasionally-Binding Constraints
SVARs With Occasionally-Binding Constraints
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DOI：
10.1016/j.jeconom.2021.07.013
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发表时间：
2021-11
期刊：
影响因子：
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通讯作者：
S. B. Aruoba;Marko Mlikota;F. Schorfheide;Sergio Villalvazo
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文献类型：
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作者：
S. B. Aruoba;Marko Mlikota;F. Schorfheide;Sergio Villalvazo
我们开发了一个结构VAR，其中一个约束约束条件产生审查的因变量之一。一旦触发了删失机制，我们允许其余变量的一些系数发生变化。我们发现，一个独特的减少形式的必要条件是，非删失变量的回归函数在删失点是连续的，参数满足一些温和的限制。在我们的应用中，删失变量是一个有效下限（ELB）约束的名义利率。根据我们基于美国数据的估计，一旦ELB具有约束力，通胀方程中的系数就会发生显著变化，这将转化为通胀对（非常规）货币政策和需求冲击的反应的变化。我们的研究结果表明，ELB的存在确实是经验相关的冲击传播。我们还获得了一个影子利率，表明在大衰退的早期阶段出现了显著的调整，随后是温和而稳定的调整，直到2016年起飞。
We develop a structural VAR in which an occasionally-binding constraint generates censoring of one of the dependent variables. Once the censoring mechanism is triggered, we allow some of the coefficients for the remaining variables to change. We show that a necessary condition for a unique reduced form is that regression functions for the non-censored variables are continuous at the censoring point and that parameters satisfy some mild restrictions. In our application the censored variable is a nominal interest rate constrained by an effective lower bound (ELB). According to our estimates based on U.S. data, once the ELB becomes binding, the coefficients in the inflation equation change significantly, which translates into a change of the inflation responses to (unconventional) monetary policy and demand shocks. Our results suggest that the presence of the ELB is indeed empirically relevant for the propagation of shocks. We also obtain a shadow interest rate that shows a significant accommodation in the early phase of the Great Recession, followed by a mild and steady accommodation until liftoff in 2016.