Nonlinear Adventures at the Zero Lower Bound
Nonlinear Adventures at the Zero Lower Bound
复制标题
零下界的非线性冒险
DOI：
10.2139/ssrn.2053153
复制
发表时间：
2012
期刊：
影响因子：
--
通讯作者：
J. Rubio
中科院分区：
文献类型：
--
作者：
Jesús Fernández;Grey Gordon;Pablo A. Guerrón;J. Rubio
受美国和欧元区最近经验的启发，我们描述了一个新凯恩斯主义模型的数量特性，该模型对名义利率具有零下限（ZLB），明确说明了该下限带来的非线性。除了展示如何有效地计算这样一个模型，我们发现，经济的行为是由ZLB的存在产生重大影响。具体而言，我们记录了1）达到ZLB的无条件和条件概率; 2）ZLB持续时间的无条件和条件概率分布; 3）ZLB产出对政府支出冲击的反应，4）将经济送到ZLB的冲击分布;以及5）将经济保持在ZLB的冲击分布。
Motivated by the recent experience of the U.S. and the Eurozone, we describe the quantitative properties of a New Keynesian model with a zero lower bound (ZLB) on nominal interest rates, explicitly accounting for the nonlinearities that the bound brings. Besides showing how such a model can be efficiently computed, we find that the behavior of the economy is substantially affected by the presence of the ZLB. In particular, we document 1) the unconditional and conditional probabilities of hitting the ZLB; 2) the unconditional and conditional probabilty distributions of the duration of a spell at the ZLB; 3) the responses of output to government expenditure shocks at the ZLB, 4) the distribution of shocks that send the economy to the ZLB; and 5) the distribution of shocks that keep the economy at the ZLB.
影响因子：
10.7
作者：
Justiniano, Alejandro;Primiceri, Giorgio E.
通讯作者：
Primiceri, Giorgio E.